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

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

0.83

Impact Factor

0.76

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	0.03	0.1	0.07	55	55	22	0.4	126	101	3	265	18	3 (2.4%)	1	0.02	0.04
1991	0.03	0.1	0.03	57	112	11	0.1	242	106	3	266	8	6 (2.5%)			0.04
1992	0.02	0.09	0.06	53	165	35	0.21	184	112	2	270	17	4 (2.2%)			0.04
1993	0.02	0.11	0.01	63	228	15	0.07	300	110	2	266	2	9 (3%)			0.05
1994	0.05	0.12	0.06	48	276	24	0.09	170	116	6	279	16	2 (1.2%)	1	0.02	0.04
1995	0.05	0.19	0.05	44	320	44	0.14	302	111	5	276	14	9 (3%)	2	0.05	0.07
1996	0.12	0.23	0.1	50	370	56	0.15	563	92	11	265	27	6 (1.1%)			0.09
1997	0.1	0.26	0.14	45	415	79	0.19	173	94	9	258	37	1 (%)	1	0.02	0.09
1998	0.15	0.28	0.17	48	463	108	0.23	181	95	14	250	43	2 (1.1%)			0.1
1999	0.06	0.32	0.13	47	510	95	0.19	311	93	6	235	31	6 (1.9%)			0.13
2000	0.03	0.39	0.09	50	560	66	0.12	190	95	3	234	22	5 (2.6%)	1	0.02	0.15
2001	0.09	0.39	0.1	52	612	100	0.16	340	97	9	240	25	7 (2.1%)	1	0.02	0.14
2002	0.07	0.4	0.12	55	667	104	0.16	202	102	7	242	28	8 (4%)	2	0.04	0.17
2003	0.06	0.43	0.09	54	721	88	0.12	179	107	6	252	23	3 (1.7%)	1	0.02	0.18
2004	0.1	0.48	0.11	57	778	133	0.17	304	109	11	258	29	7 (2.3%)	2	0.04	0.19
2005	0.09	0.52	0.12	51	829	120	0.14	185	111	10	268	33	6 (3.2%)	3	0.06	0.2
2006	0.11	0.51	0.15	51	880	236	0.27	238	108	12	269	40	7 (2.9%)	2	0.04	0.2
2007	0.06	0.45	0.12	51	931	135	0.15	246	102	6	268	32	6 (2.4%)	1	0.02	0.18
2008	0.11	0.48	0.14	58	989	182	0.18	271	102	11	264	36	5 (1.8%)	2	0.03	0.2
2009	0.26	0.49	0.24	53	1042	256	0.25	219	109	28	268	63	4 (1.8%)			0.19
2010	0.12	0.46	0.19	56	1098	243	0.22	182	111	13	264	51	4 (2.2%)	4	0.07	0.17
2011	0.17	0.49	0.22	47	1145	245	0.21	237	109	18	269	60	2 (%)	1	0.02	0.19
2012	0.17	0.52	0.17	50	1195	227	0.19	210	103	17	265	46	6 (2.9%)	6	0.12	0.19
2013	0.43	0.58	0.3	51	1246	399	0.32	146	97	42	264	79	6 (4.1%)	9	0.18	0.2
2014	0.48	0.6	0.38	58	1304	458	0.35	195	101	48	257	97	5 (2.6%)	23	0.4	0.2
2015	0.65	0.61	0.73	65	1369	1014	0.74	172	109	71	262	191	3 (1.7%)	26	0.4	0.19
2016	0.94	0.68	0.88	56	1425	1165	0.82	106	123	116	271	239	1 (%)	16	0.29	0.2
2017	0.83	0.73	0.76	57	1482	1078	0.73	24	121	100	280	213	(%)	6	0.11	0.22

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	241
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	79
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	67
4	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	60
5	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	59
6	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	59
7	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	56
8	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	45
9	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	45
10	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	43
11	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	37
12	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	35
13	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	35
14	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	34
15	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	34
16	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	34
17	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	34
18	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	33
19	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	33
20	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	33
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	30
22	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	30
23	2001	Asset storability and price discovery in commodity futures markets: A new look. (2001). Yang, Jian ; Leatham, David ; Bessler, David. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:3:p:279-300. Full description at Econpapers \|\| Download paper	30
24	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	29
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	28
26	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	28
27	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	28
28	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	28
29	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	27
30	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	26
31	2015	Do MomentumâBased Trading Strategies Work in the Commodity Futures Markets?. (2015). Narayan, Seema ; Ali Ahmed, Huson. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:9:p:868-891. Full description at Econpapers \|\| Download paper	26
32	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	26
33	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	26
34	1985	Some determinants of the volatility of futures prices. (1985). Anderson, Ronald W.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:5:y:1985:i:3:p:331-348. Full description at Econpapers \|\| Download paper	26
35	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	26
36	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
37	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	24
38	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	24
39	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	23
40	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	23
41	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	23
42	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	23
43	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	22
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	22
45	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	22
46	1991	Futures market efficiency: Evidence from cointegration tests. (1991). Chowdhury, Abdur R.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:11:y:1991:i:5:p:577-589. Full description at Econpapers \|\| Download paper	22
47	1991	Cointegration: Some results on U.S. cattle prices. (1991). Bessler, David ; Covey, Ted . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:11:y:1991:i:4:p:461-474. Full description at Econpapers \|\| Download paper	22
48	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	21
49	2011	Return distributions and volatility forecasting in metal futures markets: Evidence from gold, silver, and copper. (2011). Khalifa, Ahmed ; Ahmed A. A. Khalifa, ; Ramchander, Sanjay ; Miao, Hong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:1:p:55-80. Full description at Econpapers \|\| Download paper	21
50	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	21

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	108
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	39
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	26
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	24
5	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	23
6	2015	Do MomentumâBased Trading Strategies Work in the Commodity Futures Markets?. (2015). Narayan, Seema ; Ali Ahmed, Huson. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:9:p:868-891. Full description at Econpapers \|\| Download paper	22
7	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	21
8	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	20
9	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
10	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	20
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	20
12	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
13	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	18
14	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	18
15	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	18
16	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	16
17	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	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	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	15
20	2001	Asset storability and price discovery in commodity futures markets: A new look. (2001). Yang, Jian ; Leatham, David ; Bessler, David. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:3:p:279-300. Full description at Econpapers \|\| Download paper	15
21	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	14
22	2015	Does Futures Speculation Destabilize Commodity Markets?. (2015). Kim, Abby . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:8:p:696-714. Full description at Econpapers \|\| Download paper	14
23	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	14
24	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	14
25	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	14
26	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	14
27	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	13
28	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	13
29	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
30	2016	Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets. (2016). Symeonidis, Lazaros ; Prokopczuk, Marcel ; Simen, Chardin Wese . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:8:p:758-792. Full description at Econpapers \|\| Download paper	13
31	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	12
32	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	12
33	2011	Oil volatility and the option value of waiting: An analysis of the Gâ7. (2011). Fountas, Stilianos ; Elder, John ; Bredin, Don. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:7:p:679-702. Full description at Econpapers \|\| Download paper	11
34	2016	Who Sets the Price of Gold? London or New York. (2016). Putnins, Talis ; Hauptfleisch, Martin ; Lucey, Brian. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:6:p:564-586. Full description at Econpapers \|\| Download paper	11
35	2015	The Impact of Monetary Policy Surprises on Energy Prices. (2015). Kurov, Alexander ; Basistha, Arabinda. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:1:p:87-103. Full description at Econpapers \|\| Download paper	11
36	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	11
37	2014	Noisy Inventory Announcements and Energy Prices. (2014). Kurov, Alexander ; Wolfe, Marketa ; Kucher, Oleg . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:34:y:2014:i:10:p:911-933. Full description at Econpapers \|\| Download paper	11
38	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	11
39	2012	Does the price of crude oil respond to macroeconomic news?. (2012). Miao, Hong ; Chatrath, Arjun ; Ramchander, Sanjay. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:6:p:536-559. Full description at Econpapers \|\| Download paper	11
40	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
41	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	11
42	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	11
43	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	11
44	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	10
45	2005	Information transmission in electronic versus openâoutcry trading systems: An analysis of U.S. equity index futures markets. (2005). Ates, Aysegul ; George H. K. Wang, . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:25:y:2005:i:7:p:679-715. Full description at Econpapers \|\| Download paper	10
46	2013	Does Index Futures Trading Reduce Volatility in the Chinese Stock Market? A Panel Data Evaluation Approach. (2013). Chen, Haiqiang ; Li, Yingxing ; Han, Qian ; Wu, Kai . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:33:y:2013:i:12:p:1167-1190. Full description at Econpapers \|\| Download paper	10
47	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	9
48	1996	Temporal relationships and dynamic interactions between spot and futures stock markets. (1996). Koutmos, Gregory ; Tucker, Michael . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:1:p:55-69. Full description at Econpapers \|\| Download paper	9
49	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	9
50	2007	Realized bondâstock correlation: Macroeconomic announcement effects. (2007). Ranaldo, Angelo ; Christiansen, Charlotte. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:27:y:2007:i:5:p:439-469. Full description at Econpapers \|\| Download paper	9

Citing documents used to compute impact factor 100:

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2017	The price of shelter - Downside risk reduction with precious metals. (2017). PotÃÂ¬, Valerio ; Conlon, Thomas ; Bredin, Don ; Poti, Valerio. In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:48-58. Full description at Econpapers \|\| Download paper
2017	Intraday Seasonality in Efficiency, Liquidity, Volatility and Volume: Platinum and Gold Futures in Tokyo and New York. (2017). Iwatsubo, Kentaro ; Xu, Tao ; Watkins, Clinton . In: Discussion Papers. RePEc:koe:wpaper:1715. Full description at Econpapers \|\| Download paper
2017	Intraday Seasonality in Efficiency, Liquidity, Volatility, and Volume: Platinum and gold futures in Tokyo and New York. (2017). Watkins, Clinton ; Iwatsubo, Kentaro ; Tao, XU ; Kentaro, Iwatsubo. In: Discussion papers. RePEc:eti:dpaper:17120. Full description at Econpapers \|\| Download paper
2017	Intraday Seasonality in Efficiency, Liquidity, Volatility and Volume: Platinum and Gold Futures in Tokyo and New York. (2017). Watkins, Clinton ; Iwatsubo, Kentaro ; Xu, Tao. In: Discussion Papers. RePEc:koe:wpaper:1722. Full description at Econpapers \|\| Download paper
2017	Gold and inflation(s) â A time-varying relationship. (2017). Lucey, Brian M ; Vigne, Samuel A ; Sharma, Susan Sunila. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:88-101. Full description at Econpapers \|\| Download paper
2017	Are gold bugs coherent?. (2017). Lucey, Brian ; OConnor, Fergal . In: Applied Economics Letters. RePEc:taf:apeclt:v:24:y:2017:i:2:p:90-94. Full description at Econpapers \|\| Download paper
2017	Conditional dependence between international stock markets: A long memory GARCH-copula model approach. (2017). Mokni, Khaled ; Mansouri, Faysal. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:42-43:y:2017:i::p:116-131. Full description at Econpapers \|\| Download paper
2017	Global Commodity Prices and Global Stock Volatility Shocks: Effects across Countries. (2017). Vespignani, Joaquin ; Ratti, Ronald ; Kang, Wensheng . In: Globalization Institute Working Papers. RePEc:fip:feddgw:311. Full description at Econpapers \|\| Download paper
2017	The asymmetric volatility in the gold market revisited. (2017). Todorova, Neda. In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:138-141. Full description at Econpapers \|\| Download paper
2017	Investigating the risk-return trade-off for crude oil futures using high-frequency data. (2017). Xia, Xiao-Hua ; Pan, Bin ; Huang, Jianbai ; Wen, Fenghua ; Gong, XU. In: Applied Energy. RePEc:eee:appene:v:196:y:2017:i:c:p:152-161. Full description at Econpapers \|\| Download paper
2017	Can volume predict Bitcoin returns and volatility? A quantiles-based approach. (2017). Roubaud, David ; GUPTA, RANGAN ; Bouri, Elie ; Balcilar, Mehmet. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:74-81. Full description at Econpapers \|\| Download paper
2017	Pricing commodity futures options in the Schwartz multi factor model with stochastic volatility: An asymptotic method. (2017). Ewald, Christian-Oliver ; Chen, Jilong. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:144-151. Full description at Econpapers \|\| Download paper
2017	Pricing and Hedging of Long-Dated Commodity Derivatives. (2017). Chun, Benjamin Tin. In: PhD Thesis. RePEc:uts:finphd:37. Full description at Econpapers \|\| Download paper
2017	Do Scheduled Macroeconomic Announcements Influence Energy Price Jumps?. (2017). Chan, Kam Fong ; Gray, Philip. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:37:y:2017:i:1:p:71-89. Full description at Econpapers \|\| Download paper
2017	The Treasury Market Practices Group: creation and early initiatives. (2017). Garbade, Kenneth ; Keane, Frank M. In: Staff Reports. RePEc:fip:fednsr:822. Full description at Econpapers \|\| Download paper
2017	Determinants of price discovery in the VIX futures market. (2017). Chen, Yu-Lun ; Tsai, Wei-Che. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:59-73. Full description at Econpapers \|\| Download paper
2017	Does the Tail Wag the Dog? Evidence from Fund Flow to VIX ETFs and ETNs. (2017). Biakowski, Jdrzej ; Wei, Xiaopeng ; Dang, Huong Dieu. In: Working Papers in Economics. RePEc:cbt:econwp:17/17. Full description at Econpapers \|\| Download paper
2017	Do Bivariate Multifractal Models Improve Volatility Forecasting in Financial Time Series? An Application to Foreign Exchange and Stock Markets. (2017). Wohar, Mark ; GUPTA, RANGAN ; Demirer, Riza ; Liu, Ruipeng. In: Working Papers. RePEc:pre:wpaper:201728. Full description at Econpapers \|\| Download paper
2017	Variance risk in commodity markets. (2017). Symeonidis, Lazaros ; Prokopczuk, Marcel ; Simen, Chardin Wese . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:81:y:2017:i:c:p:136-149. Full description at Econpapers \|\| Download paper
2017	Predicting the Equity Market with Option Implied Variables. (2017). Prokopczuk, Marcel ; Simen, Chardin Wese ; Tharann, Bjorn. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-619. Full description at Econpapers \|\| Download paper
2017	Intertemporal abatement decisions under ambiguity aversion in a cap and trade.. (2017). Quemin, Simon. In: Working Papers. RePEc:cec:wpaper:1703. Full description at Econpapers \|\| Download paper
2017	Intertemporal Abatement Decisions under Ambiguity Aversion in a Cap and Trade. (2017). Quemin, Simon. In: Working Papers. RePEc:fae:wpaper:2017.06. Full description at Econpapers \|\| Download paper
2017	Modeling and predicting oil VIX: Internet search volume versus traditional mariables. (2017). Campos, I ; Reyes, T ; Cortazar, G. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:194-204. Full description at Econpapers \|\| Download paper
2017	A multifactor stochastic volatility model of commodity prices. (2017). Naranjo, Lorenzo ; Lopez, Matias ; Cortazar, Gonzalo. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:182-201. Full description at Econpapers \|\| Download paper
2017	Price discovery in the European wheat market. (2017). Vollmer, Teresa ; von Cramon-Taubadel, Stephan. In: 2017 International Congress, August 28-September 1, 2017, Parma, Italy. RePEc:ags:eaae17:261135. Full description at Econpapers \|\| Download paper
2017	The impact of foreign equity flows on market volatility during politically tranquil and turbulent times: The Egyptian experience. (2017). Ahmed, Walid. In: Research in International Business and Finance. RePEc:eee:riibaf:v:40:y:2017:i:c:p:61-77. Full description at Econpapers \|\| Download paper
2017	Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis. (2017). LyÃÂ³csa, Å tefan ; Baumohl, Eduard ; Lyocsa, Tefan. In: MPRA Paper. RePEc:pra:mprapa:76915. Full description at Econpapers \|\| Download paper
2017	Bitcoin and Global Financial Stress: A Copula-Based Approach to Dependence and Causality-in-Quantiles. (2017). Wang, Shixuan ; Roubaud, David ; Lau, Chi Keung ; GUPTA, RANGAN ; Bouri, Elie ; Marco, Chi Keung. In: Working Papers. RePEc:pre:wpaper:201750. Full description at Econpapers \|\| Download paper
2017	The intraday directional predictability of large Australian stocks: A cross-quantilogram analysis. (2017). Todorova, Neda. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:221-230. Full description at Econpapers \|\| Download paper
2017	Unconventional monetary policy and the stock marketâs reaction to Federal Reserve policy actions. (2017). Tas, Bedri ; Eksi, Ozan ; Onur, Bedri Kamil. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:136-147. Full description at Econpapers \|\| Download paper
2017	Long memory of abnormal investor attention and the cross-correlations between abnormal investor attention and trading volume, volatility respectively. (2017). Zhuang, Xintian ; Yuan, Ying ; Fan, Xiaoqian ; Jin, Xiu . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:469:y:2017:i:c:p:323-333. Full description at Econpapers \|\| Download paper
2017	Price disagreements and adjustments in index derivatives markets. (2017). Ryu, Doojin ; Yang, Heejin. In: Economics Letters. RePEc:eee:ecolet:v:151:y:2017:i:c:p:104-106. Full description at Econpapers \|\| Download paper
2017	Intraday Dynamics of Asset Returns, Trading Activities, and Implied Volatilities: A Trivariate GARCH Framework. (2017). Ryu, Doojin ; Shim, Hyein. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2017:i:2:p:45-61. Full description at Econpapers \|\| Download paper
2017	The dynamic conditional relationship between stock market returns and implied volatility. (2017). Park, Sung Y. ; Song, Jeongseok ; Ryu, Doojin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:638-648. Full description at Econpapers \|\| Download paper
2017	Information asymmetry and investor trading behavior around bond rating change announcements. (2017). Yang, Hee Jin ; Ahn, Hee-Joon ; Kim, Maria H ; Ryu, Doojin. In: Emerging Markets Review. RePEc:eee:ememar:v:32:y:2017:i:c:p:38-51. Full description at Econpapers \|\| Download paper
2017	Do Domestic Institutional Trades Exacerbate Information Asymmetry? Evidence from the Korean Stock Market. (2017). Chung, Chune Young ; Ryu, Doojin ; Lee, Yunjae. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:24:y:2017:i:4:d:10.1007_s10690-017-9235-0. Full description at Econpapers \|\| Download paper
2017	Effects of intraday weather changes on asset returns and volatilities. (2017). Shim, Hyein ; Ryu, Doojin ; Kim, Maria H. In: Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics. RePEc:rfe:zbefri:v:35:y:2017:i:2:p:301-330. Full description at Econpapers \|\| Download paper
2017	Comprehensive market microstructure model: considering the inventory holding costs. (2017). Ryu, Doojin. In: Journal of Business Economics and Management. RePEc:taf:jbemgt:v:18:y:2017:i:2:p:183-201. Full description at Econpapers \|\| Download paper
2017	An Analysis of the Facilitating and Constraining Factors Affecting Quality Service Delivery in a Selected Namibian Parastatal. (2017). Simasiku, Christopher ; Schutte, Nico . In: Proceedings of International Academic Conferences. RePEc:sek:iacpro:5908283. Full description at Econpapers \|\| Download paper
2017	What policy adjustments in the EU ETS truly affected the carbon prices?. (2017). Fan, Ying ; Xu, Jin-Hua ; Wang, Xin ; Jia, Jun-Jun. In: Energy Policy. RePEc:eee:enepol:v:103:y:2017:i:c:p:145-164. Full description at Econpapers \|\| Download paper
2017	Hedging spark spread risk with futures. (2017). Torro, Hipolit ; Enguix, Hipolit Torro ; Martinez, Beatriz Martinez . In: Working Papers. Serie EC. RePEc:ivi:wpasec:2017-01. Full description at Econpapers \|\| Download paper
2017	What Drives Volatility Expectations in Grain and Oilseed Markets?. (2017). Robe, Michel ; Adjemian, Michael ; Wallen, Jonathan ; Bruno, Valentina. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258452. Full description at Econpapers \|\| Download paper
2017	Computation of the Corrected Cornish-Fisher Expansion using the Response Surface Methodology: Application to V aR and CV aR. (2017). BarthÃÂ©lÃÂ©my, Fabrice ; Maillard, Didier ; Amedee-Manesme, Charles-Olivier. In: THEMA Working Papers. RePEc:ema:worpap:2017-21. Full description at Econpapers \|\| Download paper
2017	Measuring the output gap in Switzerland with linear opinion pools. (2017). Buncic, Daniel ; Muller, Oliver . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:153-171. Full description at Econpapers \|\| Download paper
2017	Forecasting the realized volatility of the oil futures market: A regime switching approach. (2017). Xu, Weiju ; Huang, Dengshi ; Ma, Feng ; Wahab, M. I. M., . In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:136-145. Full description at Econpapers \|\| Download paper
2017	The role of jumps and leverage in forecasting volatility in international equity markets. (2017). Buncic, Daniel. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:79:y:2017:i:c:p:1-19. Full description at Econpapers \|\| Download paper
2017	The one-trading-day-ahead forecast errors of intra-day realized volatility. (2017). Degiannakis, Stavros. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1298-1314. Full description at Econpapers \|\| Download paper
2017	Volatility forecasting of non-ferrous metal futures: Covariances, covariates or combinations?. (2017). MolnÃÂ¡r, Peter ; LyÃÂ³csa, Å tefan ; Todorova, Neda ; Molnar, Peter ; Lyocsa, Tefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:51:y:2017:i:c:p:228-247. Full description at Econpapers \|\| Download paper
2017	Jumps in Commodity Markets. (2017). Prokopczuk, Marcel ; Benno, Duc Binh. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-615. Full description at Econpapers \|\| Download paper
2017	Production and hedging with optimism and pessimism under ambiguity. (2017). Lien, Donald ; Yu, Chia-Feng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:50:y:2017:i:c:p:122-135. Full description at Econpapers \|\| Download paper
2017	Marked Hawkes process modeling of price dynamics and volatility estimation. (2017). Ki, Byoung ; Lee, Kyungsub. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:174-200. Full description at Econpapers \|\| Download paper
2017	A Hawkes model of the transmission of European sovereign default risk. (2017). Holden, Tom ; DUMITRU, ANA-MARIA. In: EconStor Conference Papers. RePEc:zbw:esconf:168431. Full description at Econpapers \|\| Download paper
2017	The discontinuation of the EUR/CHF minimum exchange rate in January 2015: was it expected?. (2017). Moessner, Richhild ; Funke, Michael ; Loermann, Julius . In: BIS Working Papers. RePEc:bis:biswps:652. Full description at Econpapers \|\| Download paper
2017	Implied Distributions from GBPUSD Risk-Reversals and Implication for Brexit Scenarios. (2017). Clark, Iain J ; Amen, Saeed. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:3:p:35-:d:103608. Full description at Econpapers \|\| Download paper
2017	The Impact of Macroeconomic News Surprises and Uncertainty of Major Economies on Returns and Volatility of Oil Futures. (2017). GUPTA, RANGAN ; Bahloul, Walid. In: Working Papers. RePEc:pre:wpaper:201715. Full description at Econpapers \|\| Download paper
2017	When no news is good news â The decrease in investor fear after the FOMC announcement. (2017). Frijns, Bart ; Tourani-Rad, Alireza ; Fernandez-Perez, Adrian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:187-199. Full description at Econpapers \|\| Download paper
2017	Informed Trading in Oil-Futures Market. (2017). SÃÂ©vi, BenoÃÂ®t ; Rousse, Olivier. In: Working Papers. RePEc:hal:wpaper:hal-01460186. Full description at Econpapers \|\| Download paper
2017	Do Scheduled Macroeconomic Announcements Influence Energy Price Jumps?. (2017). Chan, Kam Fong ; Gray, Philip. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:37:y:2017:i:1:p:71-89. Full description at Econpapers \|\| Download paper
2017	Forecasting the volatility of Nikkei 225 futures. (2017). McAleer, Michael ; Asai, Manabu. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1707. Full description at Econpapers \|\| Download paper
2017	Informed trading in S&P index options? Evidence from the 2008 financial crisis. (2017). French, Joseph ; Chen, Clara Chia-Sheng ; Li, Wei-Xuan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:40-65. Full description at Econpapers \|\| Download paper
2017	A new weighting-scheme for equity indexes. (2017). Chevallier, Julien ; Aboura, Sofiane. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:159-175. Full description at Econpapers \|\| Download paper
2017	Price Discovery in Agricultural Futures Markets: Should We Look Beyond the Best Bid-Ask Spread?. (2017). Arzandeh, Mehdi ; Frank, Julieta . In: Annual Meeting, 2017, June 18-21, Montreal, Canada. RePEc:ags:caes17:259344. Full description at Econpapers \|\| Download paper
2017	The financial economics of white precious metals â A survey. (2017). Vigne, Samuel A ; Yarovaya, Larisa ; Oconnor, Fergal A ; Lucey, Brian M. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:292-308. Full description at Econpapers \|\| Download paper
2017	What drives performance in the speculative market of short-term exchange-traded retail products?. (2017). Baller, Stefanie ; Wilkens, Marco ; Schober, Alexander ; Entrop, Oliver . In: Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe. RePEc:zbw:upadbr:b2617. Full description at Econpapers \|\| Download paper
2017	Setting the futures margin with price limits: the case for single-stock futures. (2017). Fung, Hung-Gay ; Tse, Yiuman ; Chou, Jian-Hsin ; Chen, Chen-Yu . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:1:d:10.1007_s11156-015-0548-7. Full description at Econpapers \|\| Download paper
2017	Uncovering the time-varying nature of causality between oil prices and stock market returns: A multi-country study. (2017). Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose. In: Borradores de Economia. RePEc:bdr:borrec:1009. Full description at Econpapers \|\| Download paper
2017	Can economic policy uncertainty and investors sentiment predict commodities returns and volatility?. (2017). Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Balcilar, Mehmet ; Hussain, Syed Jawad ; Raza, Naveed ; Ali, Sajid. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:208-218. Full description at Econpapers \|\| Download paper
2017	Asymmetric determinants of CDS spreads: U.S. industry-level evidence through the NARDL approach. (2017). Shahzad, Syed Jawad Hussain ; Ferrer, Roman ; Nor, Safwan Mohd ; Hussain, Syed Jawad ; Hammoudeh, Shawkat. In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:211-230. Full description at Econpapers \|\| Download paper
2017	Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis. (2017). Wong, Wing-Keung ; HOANG, Thi Hong Van ; EL KHAMLICHI, ABDELBARI ; van Hoang, Thi Hong. In: MPRA Paper. RePEc:pra:mprapa:76282. Full description at Econpapers \|\| Download paper
2017	Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?. (2017). Shahzad, Syed Jawad Hussain ; JareÃÂ±o, Francisco ; Hussain, Syed Jawad ; Jareo, Francisco ; Ferrer, Roman ; Jammazi, Rania. In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:453-483. Full description at Econpapers \|\| Download paper
2017	Investor demand, market efficiency and spot-futures relation: Further evidence from crude palm oil. (2017). Lau, Wee-Yeap ; Go, You-How. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:135-146. Full description at Econpapers \|\| Download paper
2017	Financialization of metal markets: Does futures trading influence spot prices and volatility?. (2017). Mayer, Herbert ; Wanner, Markus ; Rathgeber, Andreas. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:300-316. Full description at Econpapers \|\| Download paper
2017	Mispricing and trader positions in the S&P 500 index futures market. (2017). Lai, Ya-Wen ; Tang, Mei-Ling ; Lin, Chiou-Fa. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:250-265. Full description at Econpapers \|\| Download paper
2017	Bubbles, Froth and Facts: Another Look at the Masters Hypothesis in Commodity Futures Markets. (2017). Sanders, Dwight R ; Irwin, Scott H. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:68:y:2017:i:2:p:345-365. Full description at Econpapers \|\| Download paper
2017	Fundamental and Financial Influences on the Co-movement of Oil and Gas Prices. (2017). SÃÂ©vi, BenoÃÂ®t ; Chevallier, Julien ; Sevi, Benoit ; Derek, Julien Chevallier . In: The Energy Journal. RePEc:aen:journl:ej38-2-bunn. Full description at Econpapers \|\| Download paper
2017	What Drives Volatility Expectations in Grain and Oilseed Markets?. (2017). Robe, Michel ; Adjemian, Michael ; Wallen, Jonathan ; Bruno, Valentina. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258452. Full description at Econpapers \|\| Download paper
2017	Intertemporal abatement decisions under ambiguity aversion in a cap and trade.. (2017). Quemin, Simon. In: Working Papers. RePEc:cec:wpaper:1703. Full description at Econpapers \|\| Download paper
2017	Intertemporal Abatement Decisions under Ambiguity Aversion in a Cap and Trade. (2017). Quemin, Simon. In: Working Papers. RePEc:fae:wpaper:2017.06. Full description at Econpapers \|\| Download paper
2017	Price convergence within and between the Italian electricity day-ahead and dispatching services markets. (2017). Fontini, Fulvio ; Caporin, Massimiliano ; de Magistris, Paolo Santucci. In: Marco Fanno Working Papers. RePEc:pad:wpaper:0215. Full description at Econpapers \|\| Download paper
2017	Economic significance of commodity return forecasts from the fractionally cointegrated VAR model. (2017). Nielsen, Morten ; Xu, KE ; Narayan, Paresh Kumar ; Dolatabadi, Sepideh. In: Queen's Economics Department Working Papers. RePEc:ags:quedwp:274663. Full description at Econpapers \|\| Download paper
2017	A historical perspective of the informational content of commodity futures. (2017). Fernandez, Viviana. In: Resources Policy. RePEc:eee:jrpoli:v:51:y:2017:i:c:p:135-150. Full description at Econpapers \|\| Download paper
2017	Noncausality and the commodity currency hypothesis. (2017). Nyberg, Henri ; Lof, Matthijs. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:424-433. Full description at Econpapers \|\| Download paper
2017	Oil price shocks and Chinas stock market. (2017). Wei, Yanfeng ; Guo, Xiaoying. In: Energy. RePEc:eee:energy:v:140:y:2017:i:p1:p:185-197. Full description at Econpapers \|\| Download paper
2017	Marginal speculation and hedging in commodity markets. (2017). Ulusoy, Veysel ; Onbirler, Ozgur Unal. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:269-282. Full description at Econpapers \|\| Download paper
2017	Cost reduction and peak shaving through domestic load shifting and DERs. (2017). Shirazi, Elham ; Jadid, Shahram. In: Energy. RePEc:eee:energy:v:124:y:2017:i:c:p:146-159. Full description at Econpapers \|\| Download paper
2017	Threshold convergence between the Federal fund rate and South African equity returns around the colocation period. (2017). Phiri, Andrew. In: Working Papers. RePEc:mnd:wpaper:1710. Full description at Econpapers \|\| Download paper
2017	INTEGRAL REPRESENTATION OF PROBABILITY DENSITY OF STOCHASTIC VOLATILITY MODELS AND TIMER OPTIONS. (2017). Cui, Zhenyu ; Nguyen, Duy ; Lian, Guanghua ; Kirkby, Lars J. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:08:n:s0219024917500558. Full description at Econpapers \|\| Download paper
2017	A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data. (2017). Lejay, Antoine ; Pigato, Paolo. In: Working Papers. RePEc:hal:wpaper:hal-01669082. Full description at Econpapers \|\| Download paper
2017	Pricing double barrier options under a volatility regime-switching model with psychological barriers. (2017). Song, Shiyu ; Wang, Yongjin. In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:3:d:10.1007_s11147-017-9130-x. Full description at Econpapers \|\| Download paper
2017	Price disagreements and adjustments in index derivatives markets. (2017). Ryu, Doojin ; Yang, Heejin. In: Economics Letters. RePEc:eee:ecolet:v:151:y:2017:i:c:p:104-106. Full description at Econpapers \|\| Download paper
2017	Intraday Dynamics of Asset Returns, Trading Activities, and Implied Volatilities: A Trivariate GARCH Framework. (2017). Ryu, Doojin ; Shim, Hyein. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2017:i:2:p:45-61. Full description at Econpapers \|\| Download paper
2017	The dynamic conditional relationship between stock market returns and implied volatility. (2017). Park, Sung Y. ; Song, Jeongseok ; Ryu, Doojin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:482:y:2017:i:c:p:638-648. Full description at Econpapers \|\| Download paper
2017	Information asymmetry and investor trading behavior around bond rating change announcements. (2017). Yang, Hee Jin ; Ahn, Hee-Joon ; Kim, Maria H ; Ryu, Doojin. In: Emerging Markets Review. RePEc:eee:ememar:v:32:y:2017:i:c:p:38-51. Full description at Econpapers \|\| Download paper
2017	Do institutions behave rationally in distressed markets?. (2017). Cho, Hoon ; Sung, Sangwook ; Ryu, Doojin. In: Economics Discussion Papers. RePEc:zbw:ifwedp:2017103. Full description at Econpapers \|\| Download paper
2017	Do Domestic Institutional Trades Exacerbate Information Asymmetry? Evidence from the Korean Stock Market. (2017). Chung, Chune Young ; Ryu, Doojin ; Lee, Yunjae. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:24:y:2017:i:4:d:10.1007_s10690-017-9235-0. Full description at Econpapers \|\| Download paper
2017	On the behavior of commodity prices when speculative storage is bounded. (2017). Kleppe, Tore ; Oglend, Atle. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:75:y:2017:i:c:p:52-69. Full description at Econpapers \|\| Download paper
2017	Covered interest parity deviation and counterparty default risk: U.S. Dollar/Korean Won FX swap market. (2017). Kim, Don H ; Ho, Young ; Choi, Hanbok ; Jang, Woon Wook . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:44:y:2017:i:c:p:47-63. Full description at Econpapers \|\| Download paper
2017	Comprehensive market microstructure model: considering the inventory holding costs. (2017). Ryu, Doojin. In: Journal of Business Economics and Management. RePEc:taf:jbemgt:v:18:y:2017:i:2:p:183-201. Full description at Econpapers \|\| Download paper
2017	The asymmetric relationship between returns and implied volatility: Evidence from global stock markets. (2017). Uddin, Gazi ; naoui, kamel ; Bekiros, Stelios ; Jlassi, Mouna. In: Journal of Financial Stability. RePEc:eee:finsta:v:30:y:2017:i:c:p:156-174. Full description at Econpapers \|\| Download paper
2017	The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices. (2017). Hsu, Chih-Chen ; Chen, Ting-Fu ; Lin, Shih-Kuei. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:3:d:10.1007_s11156-016-0569-x. Full description at Econpapers \|\| Download paper

Recent citations (cites in year: CiY)

Recent citations received in 2017

Year	Citing document
2017	What Drives Volatility Expectations in Grain and Oilseed Markets?. (2017). Robe, Michel ; Adjemian, Michael ; Wallen, Jonathan ; Bruno, Valentina. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258452. Full description at Econpapers \|\| Download paper
2017	No arbitrage and lead-lag relationships. (2017). Hayashi, Takaki ; Koike, Yuta. In: Papers. RePEc:arx:papers:1712.09854. Full description at Econpapers \|\| Download paper
2017	Volatility as an Alternative asset Class: Does It Improve Portfolio Performance?. (2017). Guidolin, Massimo ; Caloiero, Elvira. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1763. Full description at Econpapers \|\| Download paper
2017	Do Domestic Institutional Trades Exacerbate Information Asymmetry? Evidence from the Korean Stock Market. (2017). Chung, Chune Young ; Ryu, Doojin ; Lee, Yunjae. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:24:y:2017:i:4:d:10.1007_s10690-017-9235-0. Full description at Econpapers \|\| Download paper
2017	Effects of intraday weather changes on asset returns and volatilities. (2017). Shim, Hyein ; Ryu, Doojin ; Kim, Maria H. In: Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics. RePEc:rfe:zbefri:v:35:y:2017:i:2:p:301-330. Full description at Econpapers \|\| Download paper
2017	Do institutions behave rationally in distressed markets?. (2017). Cho, Hoon ; Sung, Sangwook ; Ryu, Doojin. In: Economics Discussion Papers. RePEc:zbw:ifwedp:2017103. Full description at Econpapers \|\| Download paper

Recent citations received in 2016

Year	Citing document
2016	BTP futures and cash relationships: a high frequency data analysis. (2016). Puorro, Alfonso ; Potente, Francesco ; Panzarino, Onofrio . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1083_16. 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	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 ; Peat, Maurice. 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 ; Bohl, Martin T ; Reher, Gerrit . 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	A SMOOTH AMBIGUITY MODEL OF THE COMPETITIVE FIRM. (2015). Wong, Kit Pong. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:67:y:2015:i:s1:p:s97-s110. 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). Drew, Michael ; Bianchi, Robert ; Fan, John Hua . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:59:y:2015:i:c:p:423-444. Full description at Econpapers \|\| Download paper
2015	The incentive to trade under ambiguity aversion. (2015). Broll, Udo ; Wong, Kit Pong. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:12:y:2015:i:2:p:190-196. 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	Information content of inter-transaction time: A structural approach. (2015). Ryu, Doojin. In: Journal of Business Economics and Management. RePEc:taf:jbemgt:v:16:y:2015:i:4:p:697-711. Full description at Econpapers \|\| Download paper
2015	FAST HILBERT TRANSFORM ALGORITHMS FOR PRICING DISCRETE TIMER OPTIONS UNDER STOCHASTIC VOLATILITY MODELS. (2015). Zeng, Pingping ; Zheng, Wendong ; Kwok, Yue Kuen. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:18:y:2015:i:07:n:s0219024915500466. 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	Generating Historically-Based Stress Scenarios Using Parsimonious Factorization. (2014). Doerner, William ; Bogin, Alexander. In: FHFA Staff Working Papers. RePEc:hfa:wpaper:13-02. Full description at Econpapers \|\| Download paper
2014	Intermarket Technical Research of the U.S. Capital Markets and the Czech Stock Market Performance. (2014). Vychytilova, Jana. In: Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis. RePEc:mup:actaun:actaun_2014062061509. 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	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: Working Papers. RePEc:ven:wpaper:2014:22. 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

10 most frequent citing series

#	Series	Cites
1	Energy Economics / Elsevier	72
2	Journal of Banking & Finance / Elsevier	39
3	International Review of Financial Analysis / Elsevier	36
4	Economic Modelling / Elsevier	35
5	The North American Journal of Economics and Finance / Elsevier	31
6	MPRA Paper / University Library of Munich, Germany	29
7	Physica A: Statistical Mechanics and its Applications / Elsevier	29
8	International Review of Economics & Finance / Elsevier	27
9	Papers / arXiv.org	26
10	Pacific-Basin Finance Journal / Elsevier	26
11	Journal of Empirical Finance / Elsevier	24

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.