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

Citation Profile [Updated: 2019-12-04 10:36:47]

5 Years H

Impact Factor

0.71

5 Years IF

0.59

Data available in this report

[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]

Main indicators

Raw Data

	IF	AIF	CIF	IF5	DOC	CDO	CIT	NCI	CCU	D2Y	C2Y	D5Y	C5Y	SC	%SC	CiY	II	AII
1990	0.02	0.08	0.44	0.03	55	55	144	24	24	101	2	265	8		0	1	0.02	0.04
1991	0.04	0.08	0.12	0.03	57	112	267	13	37	106	4	266	7		0		0	0.04
1992	0.01	0.08	0.22	0.03	53	165	205	36	73	112	1	270	7		0		0	0.04
1993	0.02	0.1	0.07	0.01	63	228	337	15	88	110	2	266	2		0		0	0.05
1994	0.04	0.11	0.11	0.05	48	276	207	29	117	116	5	279	14		0	1	0.02	0.05
1995	0.05	0.19	0.14	0.04	44	320	355	46	163	111	5	276	11		0	2	0.05	0.08
1996	0.12	0.22	0.16	0.08	50	370	655	57	221	92	11	265	22	2	3.5		0	0.1
1997	0.09	0.22	0.23	0.1	45	415	194	95	316	94	8	258	27		0	2	0.04	0.09
1998	0.16	0.26	0.24	0.14	48	463	203	113	429	95	15	250	34	8	7.1		0	0.12
1999	0.08	0.28	0.19	0.12	47	510	370	98	527	93	7	235	28	8	8.2		0	0.14
2000	0.03	0.33	0.12	0.08	50	560	235	69	596	95	3	234	19		0	1	0.02	0.15
2001	0.09	0.36	0.18	0.12	52	612	421	111	707	97	9	240	28		0	1	0.02	0.15
2002	0.11	0.39	0.19	0.13	55	667	234	129	836	102	11	242	31		0	3	0.05	0.21
2003	0.08	0.4	0.13	0.09	54	721	205	97	933	107	9	252	23	3	3.1	1	0.02	0.2
2004	0.11	0.45	0.18	0.12	57	778	350	143	1076	109	12	258	30	2	1.4	2	0.04	0.2
2005	0.09	0.46	0.17	0.12	51	829	210	142	1218	111	10	268	31	14	9.9	3	0.06	0.22
2006	0.1	0.46	0.27	0.13	51	880	272	240	1458	108	11	269	35		0	2	0.04	0.21
2007	0.06	0.42	0.16	0.12	51	931	281	151	1609	102	6	268	32	5	3.3	1	0.02	0.18
2008	0.14	0.44	0.21	0.13	58	989	326	209	1819	102	14	264	33	1	0.5	2	0.03	0.21
2009	0.24	0.44	0.26	0.19	53	1042	271	275	2094	109	26	268	50	1	0.4		0	0.21
2010	0.15	0.43	0.25	0.17	56	1098	221	272	2370	111	17	264	45		0	4	0.07	0.18
2011	0.16	0.46	0.24	0.2	47	1145	283	270	2640	109	17	269	53	16	5.9	1	0.02	0.21
2012	0.17	0.47	0.21	0.16	50	1195	242	243	2890	103	17	265	43	6	2.5	7	0.14	0.19
2013	0.41	0.53	0.34	0.27	51	1246	169	425	3318	97	40	264	70	16	3.8	9	0.18	0.22
2014	0.43	0.55	0.37	0.35	58	1304	254	482	3800	101	43	257	90	15	3.1	23	0.4	0.22
2015	0.61	0.56	0.76	0.57	65	1369	242	1034	4835	109	67	262	150	20	1.9	34	0.52	0.21
2016	0.9	0.58	0.83	0.71	56	1425	182	1187	6022	123	111	271	193	40	3.4	15	0.27	0.2
2017	0.83	0.6	0.77	0.66	57	1482	59	1146	7168	121	101	280	184	15	1.3	6	0.11	0.22
2018	0.71	0.76	0.62	0.59	77	1559	45	964	8132	113	80	287	168	6	0.6	18	0.23	0.31

IF:	Impact Factor: C2Y / D2Y
AIF:	Average Impact Factor for series in RePEc in year y
CIF:	Cumulative impact factor
IF5:	Impact Factor: C5Y / D5Y
DOC:	Number of documents published in year y
CDO:	Cumulative number of documents published until year y
CIT:	Number of citations to papers published in year y
NCI:	Number of citations in year y
CCU:	Cumulative number of citations to papers published until year y
D2Y:	Number of articles published in y-1 plus y-2
C2Y:	Cites in y to articles published in y-1 plus y-2
D5Y:	Number of articles published in y-1 until y-5
C5Y:	Cites in y to articles published in y-1 until y-5
SC:	selft citations in y to articles published in y-1 plus y-2
%SC:	Percentage of selft citations in y to articles published in y-1 plus y-2
CiY:	Cites in year y to documents published in year y
II:	Immediacy Index: CiY / Documents.
AII:	Average Immediacy Index for series in RePEc in year y

50 most cited documents in this series

#	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	294
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	83
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	81
4	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	69
5	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	67
6	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	64
7	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	63
8	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	59
9	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	53
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	51
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	50
12	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	48
13	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	47
14	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	43
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	41
16	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	41
17	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	40
18	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	38
19	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	36
20	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	36
21	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	36
22	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
23	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	34
24	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	33
25	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
26	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	33
27	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	33
28	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	33
29	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	32
30	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	31
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	30
32	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	29
33	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	29
34	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	28
35	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
36	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	28
37	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	28
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	27
39	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	27
40	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	27
41	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	27
42	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	26
43	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	26
44	2008	Forecasting oil price movements: Exploiting the information in the futures market. (2008). Coppola, Andrea. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:28:y:2008:i:1:p:34-56. Full description at Econpapers \|\| Download paper	26
45	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	26
46	2000	Stock index futures trading and volatility in international equity markets. (2000). Gulen, Huseyin ; Mayhew, Stewart . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:20:y:2000:i:7:p:661-685. Full description at Econpapers \|\| Download paper	26
47	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	26
48	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	25
49	1993	Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach. (1993). Wahab, Mahmoud ; Lashgari, Malek . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:7:p:711-742. Full description at Econpapers \|\| Download paper	25
50	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	25

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	110
2	1995	Predicting stock market volatility: A new measure. (1995). Ostdiek, Barbara ; Whaley, Robert E. ; Fleming, Jeff . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:15:y:1995:i:3:p:265-302. Full description at Econpapers \|\| Download paper	27
3	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	26
4	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	25
5	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
6	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	22
7	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	21
8	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	21
9	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	21
10	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	20
11	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
12	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	20
13	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	19
14	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	19
15	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	19
16	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	18
17	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	18
18	2018	Structural breaks and volatility forecasting in the copper futures market. (2018). Lin, Boqiang ; Gong, XU. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:38:y:2018:i:3:p:290-339. Full description at Econpapers \|\| Download paper	17
19	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	17
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21	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	16
22	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	16
23	2009	Tick sizes and relative rates of price discovery in stock, futures, and options markets: Evidence from the Taiwan stock exchange. (2009). Gau, Yin-Feng ; Chen, YuLun . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:1:p:74-93. Full description at Econpapers \|\| Download paper	15
24	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
25	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
26	2009	Do futures lead price discovery in electronic foreign exchange markets?. (2009). Yang, Jian ; Wang, Tao ; Cabrera, Juan . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:2:p:137-156. Full description at Econpapers \|\| Download paper	14
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	14
28	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	14
29	2015	A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets. (2015). Nielsen, Morten ; Xu, KE ; Dolatabadi, Sepideh. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:4:p:339-356. Full description at Econpapers \|\| Download paper	13
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	13
31	2016	Fundamentals, Derivatives Market Information and Oil Price Volatility. (2016). Robe, Michel ; Wallen, Jonathan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:4:p:317-344. Full description at Econpapers \|\| Download paper	12
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33	2016	The ReturnâVolatility Relation in Commodity Futures Markets. (2016). Nikitopoulos-Sklibosios, Christina ; Kang, Boda ; Chiarella, Carl. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:2:p:127-152. Full description at Econpapers \|\| Download paper	12
34	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	12
35	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	12
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39	2008	Forecasting oil price movements: Exploiting the information in the futures market. (2008). Coppola, Andrea. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:28:y:2008:i:1:p:34-56. Full description at Econpapers \|\| Download paper	12
40	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
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42	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	11
43	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
44	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	11
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49	2016	Tests on the Monotonicity Properties of KOSPI 200 Options Prices. (2016). Sim, Myounghwa ; Ryu, Doojin ; Yang, Heejin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:7:p:625-646. Full description at Econpapers \|\| Download paper	10
50	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	10

Citing documents used to compute impact factor: 80

Year	Title
2018	A Stochastic Control Approach to Managed Futures Portfolios. (2018). Leung, Tim ; Yan, Raphael. In: Papers. RePEc:arx:papers:1811.01916. Full description at Econpapers \|\| Download paper
2018	Forecasting the aggregate oil price volatility in a data-rich environment. (2018). Ma, Feng ; Zhang, Yaojie ; Wahab, M. I. M., ; Liu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:320-332. Full description at Econpapers \|\| Download paper
2018	Forecasting the oil futures price volatility: Large jumps and small jumps. (2018). Liu, Jing ; Zhang, Yaojie ; Yang, KE ; Ma, Feng. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:321-330. Full description at Econpapers \|\| Download paper
2018	The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market. (2018). Lin, Boqiang ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:370-386. Full description at Econpapers \|\| Download paper
2018	Forecasting oil futures price volatility: New evidence from realized range-based volatility. (2018). Ma, Feng ; Lai, Xiaodong ; Huang, Dengshi ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:400-409. Full description at Econpapers \|\| Download paper
2018	Multiple days ahead realized volatility forecasting: Single, combined and average forecasts. (2018). Degiannakis, Stavros. In: Global Finance Journal. RePEc:eee:glofin:v:36:y:2018:i:c:p:41-61. Full description at Econpapers \|\| Download paper
2018	Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence. (2018). Filis, George ; Degiannakis, Stavros ; Arora, Vipin. In: The Energy Journal. RePEc:aen:journl:ej39-5-filis. Full description at Econpapers \|\| Download paper
2018	Entrepreneurs and internationalization: A study of Western immigrants in an emerging market. (2018). , Joyce ; Welch, Denice E. In: International Business Review. RePEc:eee:iburev:v:27:y:2018:i:1:p:93-101. Full description at Econpapers \|\| Download paper
2018	Something in the air: Information density, news surprises, and price jumps. (2018). FÃÂ¼ss, Roland ; Stein, Michael ; Mager, Ferdinand ; Grabellus, Markus ; Fuss, Roland ; ROLAND FÜSS, . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:50-75. Full description at Econpapers \|\| Download paper
2018	The volatility-volume relationship in the LME futures market for industrial metals. (2018). Clements, Adam ; Todorova, Neda. In: Resources Policy. RePEc:eee:jrpoli:v:58:y:2018:i:c:p:111-124. Full description at Econpapers \|\| Download paper
2018	Non-Gaussian Stochastic Volatility Model with Jumps via Gibbs Sampler. (2018). Dos, Thiago R ; Rego, Arthur T. In: Papers. RePEc:arx:papers:1809.01501. Full description at Econpapers \|\| Download paper
2018	The impact of funding liquidity on market quality. (2018). Chen, Wei-Peng ; Wu, Chih-Chiang ; Lu, Jun ; Lin, Shu Ling. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:153-166. Full description at Econpapers \|\| Download paper
2018	Investor sentiment and price discovery: Evidence from the pricing dynamics between the futures and spot markets. (2018). Lin, Chu-Bin ; Chou, Robin K. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:90:y:2018:i:c:p:17-31. Full description at Econpapers \|\| Download paper
2018	Monetary policy uncertainty and the market reaction to macroeconomic news. (2018). Kurov, Alexander ; Stan, Raluca. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:86:y:2018:i:c:p:127-142. Full description at Econpapers \|\| Download paper
2018	Relief Rallies after FOMC Announcements as a Resolution of Uncertainty. (2018). Kurov, Alexander ; Wolfe, Marketa Halova ; Gu, Chen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:1-18. Full description at Econpapers \|\| Download paper
2018	Covariance forecasting in equity markets. (2018). Symeonidis, Lazaros ; Markellos, Raphael ; Kourtis, Apostolos ; Symitsi, Efthymia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:153-168. Full description at Econpapers \|\| Download paper
2018	Variance risk premium and equity returns. (2018). Papadamou, Stephanos ; Fassas, Athanasios P. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:462-470. Full description at Econpapers \|\| Download paper
2018	Do spillover effects between crude oil and natural gas markets disappear? Evidence from option markets. (2018). Zhu, Fangfei ; Luo, Xingguo ; Jin, Xuejun. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:25-33. Full description at Econpapers \|\| Download paper
2018	Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles. (2018). Wang, Shixuan ; Roubaud, David ; GUPTA, RANGAN ; Bouri, Elie ; Marco, Chi Keung. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:297-307. Full description at Econpapers \|\| Download paper
2018	Quantile dependence between developed and emerging stock markets aftermath of the global financial crisis. (2018). Labidi, Chiaz ; Bekiros, Stelios ; Uddin, Gazi Salah ; Hedstrom, Axel ; Lutfur, MD. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:179-211. Full description at Econpapers \|\| Download paper
2018	Directional predictability of implied volatility: From crude oil to developed and emerging stock markets. (2018). Bouri, Elie ; Hussain, Syed Jawad ; Roubaud, David ; Lien, Donald. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:65-79. Full description at Econpapers \|\| Download paper
2018	The Impact of Long-Short Speculators on the Volatility of Agricultural Commodity Futures Prices. (2018). Sulewski, Christoph ; Bohl, Martin T. In: CQE Working Papers. RePEc:cqe:wpaper:7718. Full description at Econpapers \|\| Download paper
2018	Regime Switching Rough Heston Model. (2018). Overbeck, Ludger ; Alfeus, Mesias. In: Research Paper Series. RePEc:uts:rpaper:387. Full description at Econpapers \|\| Download paper
2018	Does Systematic Sampling Preserve Granger Causality with an Application to High Frequency Financial Data?. (2018). Rajaguru, Gulasekaran ; Abeysinghe, Tilak ; ONeill, Michael. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:31-:d:152860. Full description at Econpapers \|\| Download paper
2018	Time-varying efficiency in food and energy markets: Evidence and implications. (2018). Roubaud, David ; Jebabli, Ikram . In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:97-114. Full description at Econpapers \|\| Download paper
2018	Local volatility and the recovery rate of credit default swaps. (2018). Jansen, Jeroen ; Fabozzi, Frank J ; Das, Sanjiv R. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:1-29. Full description at Econpapers \|\| Download paper
2018	OPEC in the News. (2018). Plante, Michael. In: Working Papers. RePEc:fip:feddwp:1802. Full description at Econpapers \|\| Download paper
2018	The behaviour of energy-related volatility indices around scheduled news announcements: Implications for variance swap investments. (2018). Lopez, Raquel. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:356-364. Full description at Econpapers \|\| Download paper
2018	The LeadâLag Relationship between Oil Futures and Spot PricesâA Literature Review. (2018). Zavadska, Miroslava ; Coughlan, Joseph ; Morales, Lucia. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:4:p:89-:d:179491. Full description at Econpapers \|\| Download paper
2018	The components of the bidÃ¢â¬ ask spread: Evidence from the corn futures market. (2018). Garcia, Philip ; Mallory, Mindy ; Shang, Quanbiao . In: Agricultural Economics. RePEc:bla:agecon:v:49:y:2018:i:3:p:381-393. Full description at Econpapers \|\| Download paper
2018	Speculation, risk aversion, and risk premiums in the crude oil market. (2018). Li, Bingxin . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:64-81. Full description at Econpapers \|\| Download paper
2018	Oil prices implied volatility or direction: Which matters more to financial markets?. (2018). Dupoyet, Brice V ; Shank, Corey A. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:32:y:2018:i:3:d:10.1007_s11408-018-0314-7. Full description at Econpapers \|\| Download paper
2018	One size fits all? High frequency trading, tick size changes and the implications for exchanges: market quality and market structure considerations. (2018). Verousis, Thanos ; Sermpinis, Georgios ; Perotti, Pietro. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:2:d:10.1007_s11156-017-0632-2. Full description at Econpapers \|\| Download paper
2018	Predicting daily oil prices: Linear and non-linear models. (2018). Dbouk, Wassim ; Jamali, Ibrahim. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:149-165. Full description at Econpapers \|\| Download paper
2018	A mixed data sampling copula model for the return-liquidity dependence in stock index futures markets. (2018). Gong, Yuting ; Liang, Jufang ; Chen, Qiang. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:586-598. Full description at Econpapers \|\| Download paper
2018	Dynamic hedging with futures: a copula-based GARCH model with high-frequency data. (2018). Lai, Yu-Sheng . In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:3:d:10.1007_s11147-018-9142-1. Full description at Econpapers \|\| Download paper
2018	Economic cycles and downside commodities risk. (2018). Vo, Duc ; Powell, Robert ; Pham, Thach. In: Applied Economics Letters. RePEc:taf:apeclt:v:25:y:2018:i:4:p:258-263. Full description at Econpapers \|\| Download paper
2018	What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets. (2018). Åmiech, SÅawomir ; DÄbrowski, Marek ; Fijorek, Kamil ; Dbrowski, Marek A ; Papie, Monika. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201855. Full description at Econpapers \|\| Download paper
2018	The impact of commodity benchmarks on derivatives markets: The case of the dated Brent assessment and Brent futures. (2018). Frino, Alex ; Steffen, Tom ; Mollica, Vito ; Ibikunle, Gbenga. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:27-43. Full description at Econpapers \|\| Download paper
2018	Cross-correlations and influence in world gold markets. (2018). Wang, Gang-Jin ; Stanley, Eugene H ; Xie, Chi ; Lin, Min. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:504-512. Full description at Econpapers \|\| Download paper
2018	Who Influences the Fundamental Value of Commodity Futures in Japan?. (2018). Watkins, Clinton ; Iwatsubo, Kentaro. In: Discussion Papers. RePEc:koe:wpaper:1830. Full description at Econpapers \|\| Download paper
2018	Bitcoin FuturesâWhat use are they?. (2018). Corbet, Shaen ; Vigne, Samuel ; Peat, Maurice ; Lucey, Brian. In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:23-27. Full description at Econpapers \|\| Download paper
2018	Price discovery in shortâterm interest rate markets: Futures versus swaps. (2018). Frino, Alex ; Garcia, Michael. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:38:y:2018:i:10:p:1179-1188. Full description at Econpapers \|\| Download paper
2018	Is gold a hedge against inflation? A wavelet time-scale perspective. (2018). Conlon, Thomas ; Uddin, Gazi Salah ; Lucey, Brian M. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:51:y:2018:i:2:d:10.1007_s11156-017-0672-7. Full description at Econpapers \|\| Download paper
2018	Intraday seasonality in efficiency, liquidity, volatility and volume: Platinum and gold futures in Tokyo and New York. (2018). Watkins, Clinton ; Xu, Tao ; Iwatsubo, Kentaro. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:11:y:2018:i:c:p:59-71. Full description at Econpapers \|\| Download paper
2018	Positive liquidity spillovers from sovereign bond-backed securities. (2018). Dunne, Peter. In: ESRB Working Paper Series. RePEc:srk:srkwps:201867. Full description at Econpapers \|\| Download paper
2018	Positive Liquidity Spillovers from Sovereign Bond-Backed Securities. (2018). Dunne, Peter. In: Research Technical Papers. RePEc:cbi:wpaper:5/rt/18. Full description at Econpapers \|\| Download paper
2018	Hedging spark spread risk with futures. (2018). Torro, Hipolit ; Martinez, Beatriz. In: Energy Policy. RePEc:eee:enepol:v:113:y:2018:i:c:p:731-746. Full description at Econpapers \|\| Download paper
2018	Competitive Permit Storage and Market Design: An Application to the EU-ETS. (2018). Trotignon, Raphael ; Quemin, Simon. In: Working Papers. RePEc:fae:wpaper:2018.19. Full description at Econpapers \|\| Download paper
2018	Ambiguity preferences, risk taking and the banking firm. (2018). Welzel, Peter ; Wong, Kit Pong ; Broll, Udo. In: Eurasian Economic Review. RePEc:spr:eurase:v:8:y:2018:i:3:d:10.1007_s40822-018-0096-2. Full description at Econpapers \|\| Download paper
2018	Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?. (2018). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:148-166. Full description at Econpapers \|\| Download paper
2018	An update on speculation and financialization in commodity markets. (2018). Li, Bingxin ; Harris, Jeffrey H ; Boyd, Naomi E. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:10:y:2018:i:c:p:91-104. Full description at Econpapers \|\| Download paper
2018	Difference in the intraday return-volume relationships of spots and futures: A quantile regression approach. (2018). Ryu, Doojin ; Lee, Geul. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201868. Full description at Econpapers \|\| Download paper
2018	Quantile hedge ratio for energy markets. (2018). Shrestha, Keshab ; Suresh, Sheena Sara ; Peranginangin, Yessy ; Subramaniam, Ravichandran. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:253-272. Full description at Econpapers \|\| Download paper
2018	The effect of the rebalancing horizon on the tradeoff between hedging effectiveness and transaction costs. (2018). Jitmaneeroj, Boonlert. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:282-298. Full description at Econpapers \|\| Download paper
2018	Comparing different methods for the estimation of interbank intraday yield curves. (2018). Demertzidis, Anastasios ; Jeleskovic, Vahidin. In: MAGKS Papers on Economics. RePEc:mar:magkse:201839. Full description at Econpapers \|\| Download paper
2018	Global Commodity Prices and Global Stock Volatility Shocks. (2018). Vespignani, Joaquin ; Ratti, Ronald ; Kang, Wensheng . In: MPRA Paper. RePEc:pra:mprapa:84250. Full description at Econpapers \|\| Download paper
2018	The asymmetric return-volatility relationship of commodity prices. (2018). Baur, Dirk G ; Dimpfl, Thomas. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:378-387. Full description at Econpapers \|\| Download paper
2018	Target volatility option pricing in lognormal fractional SABR model. (2018). Wang, Tai-Ho ; Tudor, Sebastian ; Chatterjee, Rupak ; Alos, Elisa. In: Papers. RePEc:arx:papers:1801.08215. Full description at Econpapers \|\| Download paper
2018	On profitability of volatility trading on S&P 500 equity index options: The role of trading frictions. (2018). Hong, Hui ; Yang, Jingjing ; Sung, Hao-Chang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:55:y:2018:i:c:p:295-307. Full description at Econpapers \|\| Download paper
2018	Markov switching GARCH models for Bayesian hedging on energy futures markets. (2018). Billio, Monica ; Osuntuyi, Anthony ; Casarin, Roberto. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:545-562. Full description at Econpapers \|\| Download paper
2018	Oil market volatility and stock market volatility. (2018). MolnÃÂ¡r, Peter ; Molnar, Peter ; Bata, Milan. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:204-214. Full description at Econpapers \|\| Download paper
2018	Do Properly Anticipated Prices Fluctuate Randomly? Evidence from VIX Futures Markets. (2018). Mehra, Rajnish ; Wahal, Sunil ; Aragon, George O. In: NBER Working Papers. RePEc:nbr:nberwo:24575. Full description at Econpapers \|\| Download paper
2018	Risk-neutral moments in the crude oil market. (2018). Ruan, Xinfeng ; Zhang, Jin E. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:583-600. Full description at Econpapers \|\| Download paper
2018	Macroeconomic Structural Changes in a Leading Emerging Market: The Effects of the Asian Financial Crisis. (2018). Chun, Dohyun ; Ryu, Doojin ; Cho, Hoon. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2018:i:2:p:22-42. Full description at Econpapers \|\| Download paper
2018	Dynamic conditional relationships between developed and emerging markets. (2018). Song, Wonho ; Park, Sung Y. ; Ryu, Doojin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:534-543. Full description at Econpapers \|\| Download paper
2018	Characteristics of Mortgage Terminations: an Analysis of a Loan-Level Dataset. (2018). Kim, Hyeongjun ; Ryu, Doojin ; Cho, Hoon. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:57:y:2018:i:4:d:10.1007_s11146-017-9620-5. Full description at Econpapers \|\| Download paper
2018	Predictability of crude oil prices: An investor perspective. (2018). Liu, LI ; Yang, LI ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:193-205. Full description at Econpapers \|\| Download paper
2018	Time-varying correlations and Sharpe ratios during quantitative easing. (2018). Haley, Osteen ; Paul, Jones . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:1:p:11:n:5. Full description at Econpapers \|\| Download paper
2018	Cross Hedging Stock Sector Risk with Index Futures by Considering the Global Equity Systematic Risk. (2018). Hsu, Wen-Chung ; Lee, Hsiang-Tai . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:2:p:44-:d:141779. Full description at Econpapers \|\| Download paper
2018	Sustainable Energy Consumption in Northeast Asia: A Case from Chinaâs Fuel Oil Futures Market. (2018). Zhang, Chi ; Zhou, Qin ; Pu, Zhengning. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:1:p:261-:d:127843. Full description at Econpapers \|\| Download paper
2018	Forecasting the realized volatility of the Chinese stock market: Do the G7 stock markets help?. (2018). Peng, Huan ; Diao, Xiaohua ; Mei, Dexiang ; Chen, Ruoxun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:501:y:2018:i:c:p:78-85. Full description at Econpapers \|\| Download paper
2018	Risks in banks and its impact on volatility of market returns: an empirical approach. (2018). Singh, Prakash ; Kumar, Sukriti. In: International Journal of Indian Culture and Business Management. RePEc:ids:ijicbm:v:17:y:2018:i:2:p:125-138. Full description at Econpapers \|\| Download paper
2018	Structural changes and out-of-sample prediction of realized range-based variance in the stock market. (2018). Lin, Boqiang ; Gong, XU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:494:y:2018:i:c:p:27-39. Full description at Econpapers \|\| Download paper
2018	Computing the CEV option pricing formula using the semiclassical approximation of path integral. (2018). Villena, Marcelo ; Araneda, Axel A. In: Papers. RePEc:arx:papers:1803.10376. Full description at Econpapers \|\| Download paper
2018	Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral Ï2 random variable. (2018). Dias, Jose Carlos ; Vidal, Joo Pedro. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:2:p:559-570. Full description at Econpapers \|\| Download paper
2018	Momentum and reversal strategies in Chinese commodity futures markets. (2018). Yang, Yurun ; Pantelous, Athanasios A ; Goncu, Ahmet. In: International Review of Financial Analysis. RePEc:eee:finana:v:60:y:2018:i:c:p:177-196. Full description at Econpapers \|\| Download paper
2018	The Response of European Energy Prices to ECB Monetary Policy. (2018). Torro, Hipolit. In: Working Papers. RePEc:fem:femwpa:2018.09. Full description at Econpapers \|\| Download paper
2018	Herding behavior of Dutch pension funds in asset class investments. (2018). Bikker, Jacob ; Koetsier, Ian. In: DNB Working Papers. RePEc:dnb:dnbwpp:602. Full description at Econpapers \|\| Download paper
2018	Herding behavior of Dutch pension funds in asset class investments. (2018). Bikker, Jacob ; Koetsier, I. In: Working Papers. RePEc:use:tkiwps:1804. Full description at Econpapers \|\| Download paper

Recent citations

Recent citations received in 2018

Year	Citing document
2018	Formation of Market Beliefs in the Oil Market. (2018). Anatolyev, Stanislav ; Selezneva, Veronika . In: CERGE-EI Working Papers. RePEc:cer:papers:wp619. Full description at Econpapers \|\| Download paper
2018	Forecasting the term structure of option implied volatility: The power of an adaptive method. (2018). Niu, Linlin ; Han, Qian ; Chen, Ying. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:157-177. Full description at Econpapers \|\| Download paper
2018	The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market. (2018). Lin, Boqiang ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:370-386. Full description at Econpapers \|\| Download paper
2018	Asymmetric impacts of oil price uncertainty on Chinese stock returns under different market conditions: Evidence from oil volatility index. (2018). Xiao, Jihong ; Wen, Fenghua ; Zhou, Min. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:777-786. Full description at Econpapers \|\| Download paper
2018	Predictability of crude oil prices: An investor perspective. (2018). Liu, LI ; Yang, LI ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:193-205. Full description at Econpapers \|\| Download paper
2018	Forecasting oil futures price volatility: New evidence from realized range-based volatility. (2018). Ma, Feng ; Lai, Xiaodong ; Huang, Dengshi ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:400-409. Full description at Econpapers \|\| Download paper
2018	Algorithmic trading and liquidity: Long term evidence from Austria. (2018). Theissen, Erik ; Mestel, Roland ; Murg, Michael. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:198-203. Full description at Econpapers \|\| Download paper
2018	Foreign currency risk hedging and firm value in China. (2018). Luo, Hang ; Wang, Rui. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:47-48:y:2018:i::p:129-143. Full description at Econpapers \|\| Download paper
2018	News implied volatility and the stock-bond nexus: Evidence from historical data for the USA and the UK markets. (2018). Gupta, Rangan ; Wohar, Mark E ; Papadamou, Stephanos ; Kollias, Christos. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:47-48:y:2018:i::p:76-90. Full description at Econpapers \|\| Download paper
2018	Univariate dependence among sectors in Chinese stock market and systemic risk implication. (2018). Hao, Jing ; He, Feng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:510:y:2018:i:c:p:355-364. Full description at Econpapers \|\| Download paper
2018	Volatility forecasting: Global economic policy uncertainty and regime switching. (2018). Yu, Miao ; Song, Jinguo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:511:y:2018:i:c:p:316-323. Full description at Econpapers \|\| Download paper
2018	Does US Economic Policy Uncertainty matter for European stock markets volatility?. (2018). Mei, Dexiang ; Hou, Wenjing ; Zhang, Yaojie ; Zeng, Qing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:512:y:2018:i:c:p:215-221. Full description at Econpapers \|\| Download paper
2018	First to Read the News: New Analytics and Algorithmic Trading. (2018). Massa, Massimo ; Keim, Donald B ; von Beschwitz, Bastian. In: International Finance Discussion Papers. RePEc:fip:fedgif:1233. Full description at Econpapers \|\| Download paper
2018	Long- and Short-Term Cryptocurrency Volatility Components: A GARCH-MIDAS Analysis. (2018). Conrad, Christian ; Ghysels, Eric ; Custovic, Anessa . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:23-:d:145629. Full description at Econpapers \|\| Download paper
2018	Algorithmic Trading and Liquidity: Long Term Evidence from Austria. (2018). Theissen, Erik ; Mestel, Roland ; Murg, Michael. In: Working Paper Series, Social and Economic Sciences. RePEc:grz:wpsses:2018-03. Full description at Econpapers \|\| Download paper
2018	Success Factors of Financial Derivatives Markets in Asia. (2018). Sittisawad, Trin ; Sukcharoensin, Pariyada . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:25:y:2018:i:2:d:10.1007_s10690-018-9239-4. Full description at Econpapers \|\| Download paper
2018	Is Trading Fast Dangerous?. (2018). Moinas, Sophie ; Foucault, Thierry. In: TSE Working Papers. RePEc:tse:wpaper:32372. Full description at Econpapers \|\| Download paper

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). Koike, Yuta ; Hayashi, Takaki. 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). Sung, Sangwook ; Ryu, Doojin ; Cho, Hoon. 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 ; 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	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

10 most frequent citing series

#	Series	H	Cites
1	Energy Economics / Elsevier	115	360
2	International Review of Economics & Finance / Elsevier	39	224
3	International Review of Financial Analysis / Elsevier	35	216
4	Economic Modelling / Elsevier	57	184
5	MPRA Paper / University Library of Munich, Germany	87	164
6	Physica A: Statistical Mechanics and its Applications / Elsevier	52	162
7	Journal of Banking & Finance / Elsevier	130	147
8	Papers / arXiv.org	51	142
9	The North American Journal of Economics and Finance / Elsevier	33	134
10	Finance Research Letters / Elsevier	25	129
11	Research in International Business and Finance / Elsevier	23	122