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

Citation Profile [Updated: 2026-07-12 11:58:33]
5 Years H Index
50
Impact Factor (IF)
0.28
5 Years IF
0.23
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 0.01 0.1 0.33 0.02 55 55 315 18 18 101 1 265 5 0 1 0.02 0.05
1991 0.04 0.11 0.12 0.03 57 112 450 13 31 106 4 266 7 0 0 0.06
1992 0.03 0.12 0.29 0.04 53 165 369 45 79 112 3 270 10 0 1 0.02 0.06
1993 0.03 0.13 0.13 0.02 63 228 576 26 108 110 3 266 5 0 0 0.06
1994 0.06 0.14 0.14 0.06 48 276 370 38 146 116 7 279 18 0 1 0.02 0.07
1995 0.05 0.22 0.17 0.05 44 320 562 54 200 111 5 276 13 0 2 0.05 0.1
1996 0.13 0.25 0.18 0.1 50 370 1117 64 265 92 12 265 26 2 3.1 1 0.02 0.11
1997 0.11 0.24 0.32 0.14 45 415 361 127 399 94 10 258 37 0 3 0.07 0.11
1998 0.18 0.28 0.31 0.18 48 463 340 144 543 95 17 250 46 8 5.6 0 0.13
1999 0.11 0.3 0.32 0.16 47 510 708 164 707 93 10 235 37 8 4.9 0 0.14
2000 0.06 0.34 0.17 0.1 50 560 412 96 803 95 6 234 24 0 1 0.02 0.16
2001 0.09 0.38 0.22 0.13 52 612 762 132 935 97 9 240 31 0 1 0.02 0.17
2002 0.13 0.39 0.25 0.15 55 667 443 165 1100 102 13 242 36 0 2 0.04 0.21
2003 0.12 0.43 0.19 0.12 54 721 397 140 1240 107 13 252 30 3 2.1 2 0.04 0.21
2004 0.14 0.47 0.25 0.13 57 778 664 198 1438 109 15 258 34 2 1 2 0.04 0.21
2005 0.12 0.51 0.27 0.16 51 829 424 224 1664 111 13 268 43 14 6.3 3 0.06 0.23
2006 0.16 0.5 0.34 0.16 51 880 500 297 1961 108 17 269 44 0 2 0.04 0.22
2007 0.11 0.44 0.2 0.15 51 931 529 183 2144 102 11 268 40 5 2.7 1 0.02 0.2
2008 0.18 0.47 0.27 0.15 58 989 587 266 2410 102 18 264 40 1 0.4 2 0.03 0.22
2009 0.26 0.46 0.34 0.22 53 1042 575 356 2767 109 28 268 60 1 0.3 0 0.23
2010 0.18 0.46 0.3 0.21 56 1098 453 325 3096 111 20 264 56 3 0.9 4 0.07 0.2
2011 0.19 0.5 0.3 0.22 47 1145 593 341 3437 109 21 269 60 16 4.7 3 0.06 0.23
2012 0.21 0.5 0.27 0.2 50 1195 538 320 3764 103 22 265 53 6 1.9 8 0.16 0.21
2013 0.43 0.53 0.42 0.3 51 1246 352 524 4292 97 42 264 79 16 3.1 9 0.18 0.23
2014 0.49 0.52 0.42 0.39 58 1304 636 549 4844 101 49 257 99 15 2.7 20 0.34 0.22
2015 0.64 0.52 0.8 0.6 65 1369 629 1095 5940 109 70 262 157 20 1.8 36 0.55 0.22
2016 0.92 0.49 0.88 0.72 56 1425 708 1253 7194 123 113 271 196 50 4 21 0.38 0.2
2017 0.88 0.51 0.88 0.71 57 1482 498 1298 8494 121 107 280 199 20 1.5 8 0.14 0.2
2018 0.92 0.52 0.83 0.74 77 1559 614 1290 9784 113 104 287 212 206 16 20 0.26 0.22
2019 0.81 0.53 0.89 0.89 81 1640 522 1460 11244 134 109 313 280 228 15.6 20 0.25 0.21
2020 0.75 0.63 0.88 0.87 93 1733 619 1532 12776 158 119 336 292 287 18.7 26 0.28 0.3
2021 1.05 0.72 0.93 0.91 93 1826 499 1702 14479 174 182 364 333 346 20.3 37 0.4 0.26
2022 1.05 0.71 0.86 0.96 96 1922 314 1660 16139 186 195 401 384 281 16.9 20 0.21 0.21
2023 0.84 0.66 0.71 0.79 69 1991 251 1414 17553 189 158 440 348 219 15.5 20 0.29 0.19
2024 1.1 0.71 0.65 0.89 64 2055 112 1332 18885 165 181 432 385 202 15.2 17 0.27 0.21
2025 1.24 0.94 0.61 0.92 109 2164 63 1326 20211 133 165 415 380 266 20.1 39 0.36 0.27
2026 0.28 0.16 0.23 60 2224 3 345 20556 173 48 431 100 81 23.5 4 0.07
IF: Two years Impact Factor: C2Y / D2Y
AIF: Average Impact Factor for all series in RePEc in year y
CIF: Cumulative impact factor
IF5: Five years 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
#YearTitleCited
11996Energy shocks and financial markets. (1996). masulis, ronald ; Huang, Roger D. ; Stoll, Hans R.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:1:p:1-27.

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531
21995Predicting stock market volatility: A new measure. (1995). Whaley, Robert E. ; Fleming, Jeff ; Ostdiek, Barbara. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:15:y:1995:i:3:p:265-302.

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156
32004Volatility and commodity price dynamics. (2004). Pindyck, Robert. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:11:p:1029-1047.

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141
41999Price discovery in the German equity index derivatives markets. (1999). Tse, Yiuman ; So, Raymond W. ; Booth, Geoffrey G.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:6:p:619-643.

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124
52001Asset 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.

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122
61996Trading costs and the relative rates of price discovery in stock, futures, and option markets. (1996). Whaley, Robert E. ; Fleming, Jeff ; Ostdiek, Barbara. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:4:p:353-387.

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117
71996The 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.

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110
82001What moves the gold market?. (2001). Wong, Michael ; Cheung, Yan Leung ; Michael C. S. Wong, ; Cai, Jun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:3:p:257-278.

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108
92018Structural 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.

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106
101999The relationship between spot and futures prices: Evidence from the crude oil market. (1999). Silvapulle, Param ; Moosa, Imad A.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:2:p:175-193.

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104
112009A new information share measure. (2009). Shrestha, Keshab ; Lien, Donald. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:4:p:377-395.

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100
122016Do 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.

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98
132014The Predictive Content of Commodity Futures. (2014). Coibion, Olivier ; Chinn, Menzie. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:34:y:2014:i:7:p:607-636.

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93
142018The importance of global economic policy uncertainty in predicting gold futures market volatility: A GARCH‐MIDAS approach. (2018). Qian, Yichuo ; Fang, Libing ; Yu, Honghai ; Chen, Baizhu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:38:y:2018:i:3:p:413-422.

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90
151994Price discovery in petroleum markets: Arbitrage, cointegration, and the time interval of analysis. (1994). Schwarz, Thomas V. ; Szakmary, Andrew C.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:14:y:1994:i:2:p:147-167.

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90
161999Price 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.

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88
172012Intraday price discovery and volatility transmission in stock index and stock index futures markets: Evidence from China. (2012). Yang, Jian ; Zhou, Yinggang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:2:p:99-121.

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86
182019Price discovery in bitcoin spot or futures?. (2019). Dimpfl, Thomas ; Baur, Dirk G. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:7:p:803-817.

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82
192008Informed trading in the index option market: The case of KOSPI 200 options. (2008). Kang, Jangkoo ; Ahn, Heejoon ; Ryu, Doojin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:28:y:2008:i:12:p:1118-1146.

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81
202000Efficient use of commodity futures in diversified portfolios. (2000). Johnson, Robert R. ; Mercer, Jeffrey M. ; Jensen, Gerald R.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:20:y:2000:i:5:p:489-506.

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77
211995Bivariate 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.

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77
222011Volatility spillover effects and cross hedging in corn and crude oil futures. (2011). Guan, Zhengfei ; Myers, Robert J. ; Wu, Feng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:11:p:1052-1075.

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76
232009The information content of an open limit‐order book. (2009). Wang, Xiaoxin ; Hansch, Oliver ; Cao, Charles. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:1:p:16-41.

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74
242015Do Momentum‐Based 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.

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73
252001Hedge Fund Performance and Manager Skill. (2001). Caglayan, Mustafa Onur ; Edwards, Franklin R.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:11:p:1003-1028.

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73
262015Does 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.

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70
272011Price discovery and investor structure in stock index futures. (2011). Schuppli, Michael ; Bohl, Martin T. ; Salm, Christian A.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:3:p:282-306.

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68
281990South 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.

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65
291993Nonlinear 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.

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64
301985The 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.

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64
311991Price discovery and cointegration for live hogs. (1991). Schroeder, Ted ; Goodwin, Barry. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:11:y:1991:i:6:p:685-696.

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63
322016Who Sets the Price of Gold? London or New York. (2016). Putnins, Talis ; lucey, brian ; Hauptfleisch, Martin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:6:p:564-586.

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62
332001Investor Sentiment and Return Predictability in Agricultural Futures Markets. (2001). Wang, Changyun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:10:p:929-952.

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61
342013Quantile Regression Analysis of the Asymmetric Return‐Volatility Relation. (2013). Badshah, Ihsan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:33:y:2013:i:3:p:235-265.

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60
352020BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness. (2020). Choi, Jaehyuk ; Alexander, Carol ; Park, Heungju ; Sohn, Sungbin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:1:p:23-43.

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60
361997Futures market transaction costs. (1997). Locke, Peter R. ; Venkatesh, P. C.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:17:y:1997:i:2:p:229-245.

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59
372017Oil and stock markets before and after financial crises: A local Gaussian correlation approach. (2017). Panagiotidis, Theodore ; Bampinas, Georgios. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:37:y:2017:i:12:p:1179-1204.

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59
381999VaR without correlations for portfolios of derivative securities. (1999). Vosper, Les ; Giannopoulos, Kostas ; Baroneadesi, Giovanni. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:5:p:583-602.

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57
391992Is normal backwardation normal?. (1992). Kolb, Robert W.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:12:y:1992:i:1:p:75-91.

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56
401999Risk arbitrage opportunities in petroleum futures spreads. (1999). Girma, Paul Berhanu ; Paulson, Albert S.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:8:p:931-955.

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55
412009Do 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.

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55
421993Price dynamics and error correction in stock index and stock index futures markets: A cointegration approach. (1993). Lashgari, Malek ; Wahab, Mahmoud. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:7:p:711-742.

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55
431993Cointegration and error correction models: Intertemporal causality between index and futures prices. (1993). Ghosh, Asim. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:13:y:1993:i:2:p:193-198.

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54
442016Fundamentals, 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.

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53
452015The Information Content of Trades: An Analysis of KOSPI 200 Index Derivatives. (2015). Ryu, Doojin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:3:p:201-221.

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52
462002Measuring and forecasting S&P 500 index‐futures volatility using high‐frequency data. (2002). Martens, Martin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:22:y:2002:i:6:p:497-518.

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52
472020The determinants of price discovery on bitcoin markets. (2020). Frijns, Bart ; Entrop, Oliver ; Seruset, Marco. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:5:p:816-837.

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52
482004Predicting financial volatility: High‐frequency time‐series forecasts vis‐à‐vis implied volatility. (2004). Martens, Martin ; Zein, Jason. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:11:p:1005-1028.

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51
492015The 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.

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51
502010The 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.

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51
50 most relevant documents in this series (papers most cited in the last two years)
#YearTitleCited
12023Global climate change and commodity markets: A hedging perspective. (2023). Chen, Xinhui ; Jia, Shanghui ; Han, Liyan ; Jin, Jiayu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:10:p:1393-1422.

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22
21996Energy shocks and financial markets. (1996). masulis, ronald ; Huang, Roger D. ; Stoll, Hans R.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:1:p:1-27.

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17
32021Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility. (2021). Tsakou, Katerina ; Kambouroudis, Dimos S ; McMillan, David G. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:10:p:1618-1639.

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15
42004Volatility and commodity price dynamics. (2004). Pindyck, Robert. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:11:p:1029-1047.

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15
52021Price discovery in chinese agricultural futures markets: A comprehensive look. (2021). Yang, Jian ; Li, Zheng ; Wang, Tao. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:4:p:536-555.

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13
62023Climate change attention and carbon futures return prediction. (2023). Sun, Chuanwang ; Gong, XU ; Li, Mengjie ; Guan, Keqin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1261-1288.

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12
72019Price discovery in bitcoin spot or futures?. (2019). Dimpfl, Thomas ; Baur, Dirk G. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:7:p:803-817.

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11
82020The determinants of price discovery on bitcoin markets. (2020). Frijns, Bart ; Entrop, Oliver ; Seruset, Marco. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:5:p:816-837.

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11
92021Volatility spillovers in commodity futures markets: A network approach. (2021). Yang, Jian ; Miao, Hong ; Li, Zheng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:12:p:1959-1987.

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11
102022Market uncertainty and sentiment around USDA announcements. (2022). Robe, Michel. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:2:p:250-275.

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10
112020BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness. (2020). Choi, Jaehyuk ; Alexander, Carol ; Park, Heungju ; Sohn, Sungbin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:1:p:23-43.

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10
122009A new information share measure. (2009). Shrestha, Keshab ; Lien, Donald. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:4:p:377-395.

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10
132022The role of textual analysis in oil futures price forecasting based on machine learning approach. (2022). Gong, XU ; Chen, Qiyang ; Guan, Keqin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:10:p:1987-2017.

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10
142023Price discovery in Chinas crude oil futures markets: An emerging Asian benchmark?. (2023). Yu, Ziliang ; Webb, Robert I ; Yang, Jian. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:3:p:297-324.

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9
152022Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity. (2022). Yu, Jinyoung ; Ryu, Doojin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:1:p:61-76.

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9
162023The geopolitical risk premium in the commodity futures market. (2023). Pan, Zheyao ; Liao, Yin ; Cheng, Daxuan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:8:p:1069-1090.

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9
172022Forecasting realized volatility: New evidence from time‐varying jumps in VIX. (2022). Das, Debojyoti ; Dutta, Anupam. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:12:p:2165-2189.

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9
182022Time‐varying pure contagion effect between energy and nonenergy commodity markets. (2022). Sun, Chuanwang ; Jin, Yujing ; Gong, XU. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:10:p:1960-1986.

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9
192016Fundamentals, 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.

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9
202016Do 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.

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9
211999VaR without correlations for portfolios of derivative securities. (1999). Vosper, Les ; Giannopoulos, Kostas ; Baroneadesi, Giovanni. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:5:p:583-602.

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9
222001Investor Sentiment and Return Predictability in Agricultural Futures Markets. (2001). Wang, Changyun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:10:p:929-952.

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232023Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach. (2023). Zhang, XU ; Yang, Xian ; Hao, Jun ; Li, Jianping. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:6:p:705-733.

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8
242019Derivatives pricing with liquidity risk. (2019). Zhang, Yongmin ; Ding, Shusheng ; Duygun, Meryem. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:11:p:1471-1485.

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252021Forty years of the Journal of Futures Markets: A bibliometric overview. (2021). Kumar, Satish ; Pandey, Nitesh ; Baker, Kent H. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:7:p:1027-1054.

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8
262023COVID‐19 and tail risk contagion across commodity futures markets. (2023). Qiao, Tongshuai ; Han, Liyan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:2:p:242-272.

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8
272025A Closed‐Form Formula for Pricing European Options With Stochastic Volatility, Regime Switching, and Stochastic Market Liquidity. (2025). Chen, Hang ; Lin, Sha. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:5:p:429-440.

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8
282024The time‐varying volatility spillover effects between Chinas coal and metal market. (2024). Lin, Boqiang ; Lan, Tianxu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:5:p:699-719.

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8
292020Estimating the connectedness of commodity futures using a network approach. (2020). Ding, Sifang ; Fang, Libing ; Yu, Honghai ; Xiao, Binqing. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:4:p:598-616.

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8
302011Volatility spillover effects and cross hedging in corn and crude oil futures. (2011). Guan, Zhengfei ; Myers, Robert J. ; Wu, Feng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:11:p:1052-1075.

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7
312022A trend factor in commodity futures markets: Any economic gains from using information over investment horizons?. (2022). Han, Yufeng ; Kong, Lingfei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:5:p:803-822.

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7
322021Dynamic term structure models for SOFR futures. (2021). Skov, Jacob Bjerre ; Skovmand, David. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:10:p:1520-1544.

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332022The impact of COVID‐19 on the interdependence between US and Chinese oil futures markets. (2022). Zhang, Yongmin ; Ding, Shusheng ; Shi, Haili. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:11:p:2041-2052.

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7
342023Analytically pricing exchange options with stochastic liquidity and regime switching. (2023). He, Xinjiang ; Lin, Sha. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:5:p:662-676.

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7
352025Exploring the Driving Forces of the Correlations Between Chinas Crude Oil Futures and Global and Regional Benchmarks. (2025). Lee, Chienchiang ; Liu, Min. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:4:p:379-392.

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7
362009The information content of an open limit‐order book. (2009). Wang, Xiaoxin ; Hansch, Oliver ; Cao, Charles. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:1:p:16-41.

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372024The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility. (2024). Lin, Boqiang ; Kose, Nezir ; Yildirim, Hakan ; Unal, Emre. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:4:p:673-695.

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7
382008Informed trading in the index option market: The case of KOSPI 200 options. (2008). Kang, Jangkoo ; Ahn, Heejoon ; Ryu, Doojin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:28:y:2008:i:12:p:1118-1146.

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7
392020Return and volatility transmission between Chinas and international crude oil futures markets: A first look. (2020). Yang, Jian ; Zhou, Yinggang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:6:p:860-884.

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7
402016Spillovers and Directional Predictability with a Cross‐Quantilogram Analysis: The Case of U.S. and Chinese Agricultural Futures. (2016). Roca, Eduardo ; Todorova, Neda ; Su, Jen Je ; Jiang, Huayun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:12:p:1231-1255.

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7
412018The importance of global economic policy uncertainty in predicting gold futures market volatility: A GARCH‐MIDAS approach. (2018). Qian, Yichuo ; Fang, Libing ; Yu, Honghai ; Chen, Baizhu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:38:y:2018:i:3:p:413-422.

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7
422016The Return–Volatility Relation in Commodity Futures Markets. (2016). Nikitopoulos-Sklibosios, Christina ; Chiarella, Carl ; Kang, Boda. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:2:p:127-152.

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7
432015The 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.

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6
442023The influence of oil price uncertainty on stock liquidity. (2023). Zhang, Qin ; Wong, Jin Boon. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:2:p:141-167.

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6
452020Bitcoin and sentiment. (2020). Jo, Hoje ; Shefrin, Hersh ; Park, Haehean. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:12:p:1861-1879.

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6
462021A short cut: Directly pricing VIX futures with discrete‐time long memory model and asymmetric jumps. (2021). Wang, Tianyi ; Bian, Yang ; Yin, Fangsheng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:4:p:458-477.

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6
472015Does 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.

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482024Closed‐Form Formulae for Variance and Volatility Swaps Under Stochastic Volatility With Stochastic Liquidity Risks. (2024). He, Xinjiang ; Lin, Sha. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:8:p:1447-1461.

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6
491999The relationship between spot and futures prices: Evidence from the crude oil market. (1999). Silvapulle, Param ; Moosa, Imad A.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:2:p:175-193.

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502015Booms and Busts in Commodity Markets: Bubbles or Fundamentals?. (2015). Prokopczuk, Marcel ; Brooks, Chris ; Wu, Yingying. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:35:y:2015:i:10:p:916-938.

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6
Citing documents used to compute impact factor: 48
YearTitle
2026Downside Risk and Agriculture Commodity Futures Returns: A Study Using Self‐Organizing Maps. (2026). Das, Santanu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:46:y:2026:i:5:p:863-877.

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2026A Generalized Error Distribution‐Copula Framework for Pricing Chinese Treasury Bond Futures With Embedded Options. (2026). Yang, Xiaofeng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:46:y:2026:i:3:p:604-624.

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2026Harnessing Sunshine: A Dynamic Spillover Analysis of the Diversification Effects of Chinas Photovoltaic Weather Index. (2026). Shang, Yue ; Wei, YU ; Chen, Xiaodan ; Wang, Qian. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:46:y:2026:i:5:p:843-862.

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2026Does inter-industry risk spillover network predict financial crisis? Evidence from a gated graph neural networks approach. (2026). Ren, Yinghua ; Chen, Xin ; Zhu, Huiming. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:82:y:2026:i:c:s1062940825002050.

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2026How trading barriers in underlying markets impact ETF trading and characteristics. (2026). Seok, Sangik ; Kim, Jinhwan ; Cho, Hoon. In: Research in International Business and Finance. RePEc:eee:riibaf:v:81:y:2026:i:c:s0275531925004428.

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2026A hybrid adaptive trading strategy integrating investor sentiment for precious metal ETFs. (2026). Hajek, Petr ; Novotny, Josef. In: Financial Innovation. RePEc:spr:fininn:v:12:y:2026:i:1:d:10.1186_s40854-026-00911-2.

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2026Climate Risk Transmissions to Commodity Markets: Evidence From a Mixed-Frequency Spillover Approach. (2026). Zhou, Chunyan ; Wei, YU ; Chen, YE. In: Evaluation Review. RePEc:sae:evarev:v:50:y:2026:i:3:p:346-383.

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2026The Chaos of Climate Ambitions: Climate Policy Uncertainty and the Volatility Risk in Commodity Markets. (2026). Zhu, Shuhui ; Wu, Fenglin ; Wan, Yufan ; Li, Yanshuang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:46:y:2026:i:1:p:197-220.

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2026Overnight Reversals of Implied Higher Moments and Their Put‐Call Spreads. (2026). Ryu, Doojin ; Lee, Geul. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:46:y:2026:i:4:p:698-718.

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2026Short-rate models with stochastic discontinuities: a PDE approach. (2025). De Donno, Marzia ; Sanfelici, Simona ; Guardasoni, Chiara ; Calvia, Alessandro. In: Papers. RePEc:arx:papers:2510.04289.

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2026Tick Size, Lot Size, and Liquidity in Futures Trading. (2026). Qu, Chengcheng ; Xu, Caihong ; Nordn, Lars L. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:46:y:2026:i:1:p:43-55.

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2026FX futures invariance. (2026). Andersen, Torben G ; Bondarenko, Oleg ; Onur, Esen ; Gousgounis, Eleni. In: Journal of Econometrics. RePEc:eee:econom:v:254:y:2026:i:pa:s0304407625002180.

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2026Does Speculation in Futures Markets Improve Commodity Hedging Decisions?. (2026). Miffre, Jolle ; Fuertes, Ana-Maria ; Fernandez-Perez, Adrian. In: Management Science. RePEc:inm:ormnsc:v:72:y:2026:i:3:p:2525-2544.

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2026Sustainability in commodity markets. (2026). Zhou, Yuxin ; Coqueret, Guillaume ; Tavin, Bertrand. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:184:y:2026:i:c:s0378426625002195.

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2026Volatility and skewness predictability with deep learning and big data: Chinese futures market case. (2026). Chen, Xin ; Wang, Jia ; Shen, Jiancheng ; Cang, Han ; Ma, Xuejun. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:96:y:2026:i:c:s0927538x25003208.

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2026The Role of Price‐Volatility Cojumps in Volatility Forecasting. (2026). Liao, Kefu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:46:y:2026:i:5:p:931-951.

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2026Modeling Grain Futures Prices Through Uncertainty Indices and Mixed‐Frequency Fusion: An Interpretable Deep Learning Framework. (2026). Li, Minghao ; Zhang, LI ; Wang, Yong ; Sun, Weixin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:46:y:2026:i:2:p:353-380.

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2026Geopolitical risk and systemic tail risk spillovers: Evidence from Chinese financial markets. (2026). Zhong, Juandan ; Li, Haibo ; Wang, BO. In: International Review of Financial Analysis. RePEc:eee:finana:v:109:y:2026:i:c:s1057521925009214.

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2026Effectiveness of domain stabilization: A broader perspective. (2026). Chen, Jing ; Lee, Geul ; Ryu, Doojin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:105:y:2026:i:c:s1059056025009621.

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2026The Risk Transmission Mechanism of Global Stock Markets from the Perspective of Entropy-Riemann Geometry: Theoretical Construction and Empirical Analysis. (2026). Wang, Shun ; Zhang, Yue ; Liu, Fengmin ; Shu, Mingyu. In: Computational Economics. RePEc:kap:compec:v:67:y:2026:i:2:d:10.1007_s10614-025-10913-4.

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2026Modelling the data-generating mechanism of China’s commodity market by identifying hidden information flow regimes. (2026). Chen, Zhongxiu ; Li, Zhenghui ; Huang, Zhehao. In: Financial Innovation. RePEc:spr:fininn:v:12:y:2026:i:1:d:10.1186_s40854-025-00804-w.

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2026Deep Learning‐Based Network Relationship Construction Method and Its Impact on Futures Risk Premiums. (2026). Huanheng, Lin ; Chuanglian, Chen ; Yuting, Lin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:46:y:2026:i:1:p:175-196.

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2026Beyond pure hype: news sentiment and its role in the BTC and ETH futures market. (2026). Dorfleitner, Gregor ; Sparrer, Christian ; Kreuzer, Christian. In: Review of Derivatives Research. RePEc:kap:revdev:v:29:y:2026:i:1:d:10.1007_s11147-025-09223-6.

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2026Understanding Carbon Trade Dynamics: A European Union Emissions Trading System Perspective. (2025). Chakraborty, Avirup. In: Papers. RePEc:arx:papers:2510.22341.

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2026Energy market connectedness: A tale of two crises. (2026). Obojska, Lidia ; Brzeszczyski, Janusz ; Szczygielski, Jan Jakub ; Charteris, Ailie. In: Energy Economics. RePEc:eee:eneeco:v:153:y:2026:i:c:s0140988325006140.

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2026Trading characteristics of emissions trading scheme and carbon emission reduction efficiency: Evidence from China. (2026). Ding, Tao ; Tan, Ruipeng ; Liang, Liang. In: Energy Economics. RePEc:eee:eneeco:v:153:y:2026:i:c:s0140988325009028.

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2026Which companies are most at low-carbon transition risks? Evidence from ripple effects in multi-order moments. (2026). Luo, Ting ; Du, Jiangze ; Wang, Haiying ; Jiang, Chonghui. In: International Review of Financial Analysis. RePEc:eee:finana:v:110:y:2026:i:c:s1057521925009305.

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2026Adaptive VaR Control for Standardized Option Books under Marking Frictions. (2026). Zhong, Tenghan. In: Papers. RePEc:arx:papers:2604.03499.

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2026Learn to explain the smile: An interpretable hybrid machine learning model to understand the implied volatility of CSI 300 options. (2026). Lin, Yan ; Huang, Jinbo. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:96:y:2026:i:c:s0927538x25003750.

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2026Beyond Prompting: An Autonomous Framework for Systematic Factor Investing via Agentic AI. (2026). Fan, Zheqi ; Huang, Allen Yikuan. In: Papers. RePEc:arx:papers:2603.14288.

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2026Time-varying betas in foreign exchange returns: An IPCA approach. (2026). Yang, Jui-Chung ; Lee, Shu-Fu ; Fu, Hsuan. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:66:y:2026:i:3:d:10.1007_s11156-025-01424-2.

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2026The role of global factors in Bitcoin dynamics: Evidence from the TVP-VAR-SV model. (2026). Gayaker, Savas ; Nal, Emre ; Kse, Nezir. In: Empirical Economics. RePEc:spr:empeco:v:70:y:2026:i:3:d:10.1007_s00181-026-02897-3.

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2026Cryptocurrency risk management using Lévy processes and time-varying volatility. (2026). Yueh, Meng-Lan ; Wu, Hai-Tang. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:66:y:2026:i:1:d:10.1007_s11156-025-01393-6.

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2026How does carbon market react to economic policy uncertainty and oil price shocks? New evidence from a time-varying perspective. (2026). Zhang, Yi Fei ; Wang, Xiaoqing ; Safi, Adnan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:105:y:2026:i:c:s1059056025010044.

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2026Climate policy uncertainty, investor behavior, and carbon market returns. (2026). Zhang, Deyuan ; Zhong, Hongyu ; Liu, Zhenhua. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:41:y:2026:i:c:s2405851325000789.

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2026Intertemporal hedging and the carbon beta premium: Insights from Chinese corporate bonds. (2026). Lee, Chien-Chiang ; Wan, Wei ; Liu, Hao. In: Energy Economics. RePEc:eee:eneeco:v:153:y:2026:i:c:s0140988325009260.

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2026From Paris to Pandemic: How Climate Risk and Policy Uncertainty Shapes Fossil and Clean Energy Commodities. (2026). Triantafyllou, A ; Michailides, P ; Koulmas, P ; Karadimitropoulou, A. In: Post-Print. RePEc:hal:journl:hal-05540979.

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2026Sentiment, uncertainty, and bond return predictability. (2026). Kang, Hankil ; Ryu, Doojin. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:105:y:2026:i:c:s1062976925001243.

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2026Impermanent loss in cryptocurrency. (2026). Li, Xiao ; Dowling, Michael ; Chu, Gang. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:160:y:2026:i:c:s0261560625002116.

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2026The impact of competition policy on corporate financialization: A quasi-natural experiment based on the anti-monopoly law. (2026). Liu, Yilin ; Jiang, XI. In: Finance Research Letters. RePEc:eee:finlet:v:90:y:2026:i:c:s1544612325025590.

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2026Information and stock returns: Evidence from high-frequency data in Chinas ETF options market. (2026). Qin, Zixuan ; Song, Wenjing ; Yu, Mei ; Meng, Jingjing. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:96:y:2026:i:c:s0927538x2500352x.

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2026Dynamic and causal effects of oil price uncertainty on U.S. energy production: A Fourier and wavelet-based analysis. (2026). Soyyigit, Semanur ; Kazak, Hasan ; Kilic, Cuneyt ; Akcan, Ahmet Tayfur. In: Resources Policy. RePEc:eee:jrpoli:v:113:y:2026:i:c:s0301420726000231.

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2026Is Bitcoin A Hedge Against Central Banking? Evidence from AI-Driven Monetary Policy Expectations. (2026). Sun, Zixin ; Laboure, Marion ; Sicard, Franccois. In: Papers. RePEc:arx:papers:2604.08825.

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2026Bitcoin Price Prediction: Peer-Reviewed Evidence and Social Media Discourse. (2026). Baquero, Carlos. In: Papers. RePEc:arx:papers:2606.00071.

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2026Same Returns, Different Risks: How Cryptocurrency Markets Process Infrastructure vs Regulatory Shocks. (2026). Farzulla, Murad. In: Papers. RePEc:arx:papers:2602.07046.

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2026Faster Monotone Implied Volatility Solver. (2026). le Floc, Fabien. In: Papers. RePEc:arx:papers:2605.22427.

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2026Implying Volatility: How Fast Can We Go?. (2026). Healy, Jherek ; le Floc, Fabien. In: Papers. RePEc:arx:papers:2605.29102.

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2026Forecasting the worst: is implied volatility forward-looking enough?. (2026). de Vincentiis, Paola ; Confalonieri, Carlo. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:27:y:2026:i:1:d:10.1057_s41261-025-00306-w.

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Recent citations
Recent citations received in 2026
YearCiting document
2026Beyond Prompting: An Autonomous Framework for Systematic Factor Investing via Agentic AI. (2026). Fan, Zheqi ; Huang, Allen Yikuan. In: Papers. RePEc:arx:papers:2603.14288.

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2026On options-driven realized volatility forecasting: Information gains via rough volatility model. (2026). Ye, Yifan ; Wang, Meng Melody ; Fan, Zheqi. In: Papers. RePEc:arx:papers:2604.02743.

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2026Adaptive VaR Control for Standardized Option Books under Marking Frictions. (2026). Zhong, Tenghan. In: Papers. RePEc:arx:papers:2604.03499.

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2026Volatility Forecasting and Return Prediction under Market Regimes: Evidence from High-Frequency Chinese Equity Data. (2026). , Robert ; Fang, Xinyue. In: Papers. RePEc:arx:papers:2606.09478.

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Recent citations received in 2025
YearCiting document
2025Neural Jumps for Option Pricing. (2025). Liu, Yanchu ; Guo, Hanzhong ; Zheng, Duosi ; Huang, Wei. In: Papers. RePEc:arx:papers:2506.05137.

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2025Optimal Decisions for Liquid Staking: Allocation and Exit Timing. (2025). Tang, Wenpin ; Yao, David ; Cai, Zhebiao ; Ma, Ruofei. In: Papers. RePEc:arx:papers:2507.14810.

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2025Pricing American options with exogenous and endogenous transaction costs. (2025). He, Xin-Jiang ; Yan, Dong ; Huang, Xin-Jie ; Ma, Guiyuan. In: Papers. RePEc:arx:papers:2509.00485.

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2025Dynamics of Liquidity Surfaces in Uniswap v3. (2025). Risk, Jimmy ; Wang, Tai-Ho ; Tung, Shen-Ning. In: Papers. RePEc:arx:papers:2509.05013.

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2025Large Language Models and Futures Price Factors in China. (2025). Zhou, Heyang ; Cheng, Yuhan ; Liu, Yanchu. In: Papers. RePEc:arx:papers:2509.23609.

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2025Measuring Sovereign Bond Market Integration in Asia: A Wavelet Perspective. (2025). Sehgal, Shivam ; Singh, Jaspal. In: Asian Economic Journal. RePEc:bla:asiaec:v:39:y:2025:i:2:p:155-186.

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2025MODELLING CONDITIONAL VOLATILITY AND ASYMMETRY IN GOLD FUTURES RETURNS. (2025). Birau, Ramona ; Meher, Bharat Kumar ; Shreevastava, Aman ; Raza, Shahil ; Sultanoiu, Cristina ; Maria, Gabriela Ana ; Margaritescu, Stefan ; Popescu, Virgil. In: Annals - Economy Series. RePEc:cbu:jrnlec:y:2025:v:6:p:111-125.

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2025Empowering energy transition: Revisiting the dynamic impacts of Carbon emissions trading and the crude oil market. (2025). Stan, Sebastian-Emanuel ; Jin, Wenxin ; Wang, Xiaoqing. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:86:y:2025:i:c:p:988-1001.

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2025The impact of new energy pilot city policies on urban green innovation: Evidence from China’s city level. (2025). Lee, Chien-Chiang ; Zhu, Yanjin ; Ma, Dan. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:87:y:2025:i:c:p:585-604.

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2025Understanding the asymmetric impact of non-fundamental behavioral shocks on trade efficiency: Evidence from Chinas trade partners. (2025). Lee, Chien-Chiang ; Yahya, Farzan. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:88:y:2025:i:c:p:237-263.

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2025Analytically pricing crude oil options under a jump-diffusion model with stochastic liquidity risk and convenience yield. (2025). He, Xin-Jiang ; Chen, Meiling ; Lin, Sha. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000646.

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2025Foreign exchange option pricing with a three-factor Heston model with regime switching and stochastic interest rate. (2025). He, Xin-Jiang ; Lin, Sha. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:80:y:2025:i:c:s106294082500110x.

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2025An analytical approximation for European options under a Heston-type model with regime switching. (2025). He, Xin-Jiang ; Chen, Wenting. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:80:y:2025:i:c:s1062940825001408.

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2025Price discovery through wrapped tokens. (2025). Johnson, William C ; Scharnowski, Stefan. In: Economics Letters. RePEc:eee:ecolet:v:257:y:2025:i:c:s0165176525005403.

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2025Towards carbon neutrality: Will artificial intelligence and green bond become catalysts?. (2025). Wang, Xiaoqing ; Safi, Adnan ; Ge, Fengning. In: Energy Economics. RePEc:eee:eneeco:v:148:y:2025:i:c:s0140988325005389.

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2025Pricing energy futures options: The role of seasonality and liquidity. (2025). Yang, Zhao ; He, Xin-Jiang ; Chen, Wenting. In: Energy Economics. RePEc:eee:eneeco:v:149:y:2025:i:c:s014098832500564x.

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2025Quantifying uncertainty in economics policy predictions: A Bayesian & Monte Carlo based data-driven approach. (2025). Abdul, Mahe Jabeen ; Ur, Shafeeq. In: International Review of Financial Analysis. RePEc:eee:finana:v:102:y:2025:i:c:s1057521925002443.

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2025A closed-form formula for pricing exchange options with regime switching stochastic volatility and stochastic liquidity. (2025). Lin, Sha ; Wei, Wenting ; He, Xin-Jiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:103:y:2025:i:c:s1057521925002467.

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2025Cyber risk and corporate share repurchases. (2025). Lee, Chien-Chiang ; Wang, Chih-Wei ; Lin, Weizheng ; Chen, En-Jia. In: International Review of Financial Analysis. RePEc:eee:finana:v:103:y:2025:i:c:s1057521925003199.

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2025Tail risk spillovers between international agricultural commodity and Chinas financial markets: based on quantile time-frequency perspective. (2025). Pu, Yuqi ; Jiang, Heng ; Huang, Xianming ; Liu, Luying. In: Finance Research Letters. RePEc:eee:finlet:v:78:y:2025:i:c:s1544612325004829.

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2025Analytically pricing commodity futures options in a regime-switching financialization framework. (2025). Huo, Zhongyao ; He, Xin-Jiang ; Chen, Wenting. In: Finance Research Letters. RePEc:eee:finlet:v:85:y:2025:i:pe:s1544612325015004.

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2025Decomposing momentum: Fundamentals versus persistent mispricing. (2025). Kim, Hyeonjun ; Ryu, Doojin. In: Finance Research Letters. RePEc:eee:finlet:v:86:y:2025:i:pf:s1544612325020069.

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2025Oil consumption and growth: Is there a threshold effect of greenhouse gases emissions. (2025). Hailemariam, Abebe ; GUPTA, RANGAN ; Sheng, Xin ; Nandnaba, Sarah. In: Innovation and Green Development. RePEc:eee:ingrde:v:4:y:2025:i:3:s2949753125000372.

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2025Shifting risk preferences of foreign institutional investors on corporate social responsibility amidst the U.S.-China trade war. (2025). Yang, Lu ; Xu, Haifeng. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:154:y:2025:i:c:s0261560625000634.

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2025U.S. climate policy uncertainty shocks and the growth in renewable energy production. (2025). Payne, James ; Ewing, Bradley T ; Koncak, Ahmet ; Nazlioglu, Saban. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:39:y:2025:i:c:s2405851325000376.

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2025The dynamics of energy transition metals under climate policy uncertainty. (2025). Hailemariam, Abebe ; Ivanovski, Kris. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:40:y:2025:i:c:s2405851325000649.

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2025Generative AI: The transformative impact of ChatGPT on systemic financial risk in Chinese banks. (2025). Nagayasu, Jun ; Zhao, Yikai ; Dai, Runyu. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:93:y:2025:i:c:s0927538x25001660.

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2025Credit risk identification with Hawkes processes: Theory and evidence. (2025). Lin, Xuanmeng ; He, Xin-Jiang. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:103:y:2025:i:c:s1062976925000687.

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2025Exploring the dynamic linkages between carbon trading market and smart technology indices: A multi-dimensional analysis of Chinas case. (2025). He, Qin ; Liu, Huifang ; Cong, Ruiyuan ; Ma, Shenglin ; Gong, Junxi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:102:y:2025:i:c:s1059056025005234.

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2025Meeting the European Union’s zero-CO2-emissions target for cars in France. (2025). de Palma, André ; Riou, Yannik ; Lindsey, Robin. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:199:y:2025:i:c:s0965856425001594.

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2025Agricultural Futures Contracts as Part of a Sustainable Investment Strategy: Issues and Opportunities. (2025). Martell, Terrence F ; Skou, Lene ; Demir, Mert. In: Commodities. RePEc:gam:jcommo:v:4:y:2025:i:3:p:15-:d:1722400.

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2025Optimization of Cooperative Operation of Multiple Microgrids Considering Green Certificates and Carbon Trading. (2025). Li, Jinchao ; Sun, Pengfei ; Hong, Chong ; Xia, Jing ; Xu, Xiaobin. In: Energies. RePEc:gam:jeners:v:18:y:2025:i:15:p:4083-:d:1715888.

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2025Influence of Green Credit Policy on Corporate Risk-Taking: The Mediating Effect of Debt Maturity Mismatch and the Moderating Effect of Executive Compensation. (2025). Bian, Baocheng ; Wang, Zhongshuai. In: Sustainability. RePEc:gam:jsusta:v:17:y:2025:i:7:p:2862-:d:1619073.

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2025Export dynamics, exchange rate volatility, and economic stability: evidence from Asia-Pacific economies. (2025). Sein, Pankhuri ; Sah, Ash Narayan. In: Palgrave Communications. RePEc:pal:palcom:v:12:y:2025:i:1:d:10.1057_s41599-025-05099-x.

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2025Approximating the Dynamic VaR Risk Measure in Ruin Theory. (2025). Zhang, Zhimin ; Cui, Zhenyu ; Su, Wen. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:27:y:2025:i:4:d:10.1007_s11009-025-10233-y.

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2025Global Patent Portfolio Strategy Using AHP and Legal Risk Indicators. (2025). Chen, Yun-Yi ; Wei, Chiu-Chi. In: Advances in Management and Applied Economics. RePEc:spt:admaec:v:15:y:2025:i:6:f:15_6_19.

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2025Unveiling Bidirectional Forecasting Between Volatility of VIX and Stock Market: Insights From Asymmetric Jumps and Cojumps. (2025). Jiang, Gongyue ; Qiao, Gaoxiu ; Liang, Chao. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:10:p:1717-1739.

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2025Stochastic Sequencing of Systemic Risk in Commodity Markets: Based on Geopolitical Risk Events Assessment. (2025). Li, Mengqi ; Lee, Chienchiang ; Zhang, Xiaoming ; Wang, Peiru. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:11:p:2128-2150.

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2025Analysis of the Impact of Economic Policies on Climate Change Mitigation. (2025). Ehigiamusoe, Kizito Uyi ; Lean, Hooi Hooi ; Lee, Chienchiang. In: Sustainable Development. RePEc:wly:sustdv:v:33:y:2025:i:s1:p:161-181.

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Recent citations received in 2024
YearCiting document
2024Spatial Price Transmission and Dynamic Volatility Spillovers in the Global Grain Markets. (2024). Du, Yuxuan ; Xue, Huidan. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:343639.

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2024Spatial Price Transmission and Dynamic Volatility Spillovers in the Global Grain Markets. (2024). Du, Yuxuan ; Xue, Huidan. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea24:343639.

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2024Grain Futures Market Response to the Black Sea Grain Initiative. (2024). Steinbach, Sandro ; Yildirim, Yasin. In: German Journal of Agricultural Economics. RePEc:ags:gjagec:356239.

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2024Option listing and underlying commodity futures volatility in China. (2024). Guo, Jin ; Wen, Xiaoqian. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002839.

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2024Price discovery redux—Analyzing energy spot and futures prices using a dynamic programming approach. (2024). Vatsa, Puneet ; Miljkovic, Dragan. In: Energy Economics. RePEc:eee:eneeco:v:140:y:2024:i:c:s014098832400673x.

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2024Asymmetric and high-order risk transmission across VIX and Chinese futures markets. (2024). Zhang, Zhendong ; Luo, Jiawen. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000462.

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2024Risk spillovers and optimal hedging in commodity ETFs: A TVP-VAR Approach. (2024). Vasileiou, Evangelos ; Malhotra, Davinder ; Hadad, Elroi. In: Finance Research Letters. RePEc:eee:finlet:v:70:y:2024:i:c:s1544612324014016.

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2024Multilayer networks for measuring interconnectedness among global stock markets through the lens of trading volume-price relationship. (2024). Borjigin, Sumuya ; Xiang, Youtao. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000784.

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2024Vulnerable options with regime switching and stochastic liquidity. (2024). Lu, Tuantuan ; Lin, Sha ; He, Xin-Jiang ; Pasricha, Puneet. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:98:y:2024:i:c:s1062976924001364.

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2024Heterogeneous Responses of Energy and Non-Energy Assets to Crises in Commodity Markets. (2024). VORTELINOS, DIMITRIOS ; Viskadouros, Georgios ; Garefalakis, Alexandros ; Menegaki, Angeliki ; Passas, Ioannis. In: Energies. RePEc:gam:jeners:v:17:y:2024:i:21:p:5438-:d:1511233.

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2024Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices. (2024). Pierdzioch, Christian ; GUPTA, RANGAN. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:18:p:2952-:d:1483479.

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2024Sustainability Implications of Commodity Price Shocks and Commodity Dependence in Selected Sub-Saharan Countries. (2024). Obokoh, Lawrence Ogechukwu ; Wanzala, Richard Wamalwa. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:20:p:8928-:d:1499328.

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2024Multi-Task Forecasting of the Realized Volatilities of Agricultural Commodity Prices. (2024). Pierdzioch, Christian ; GUPTA, RANGAN. In: Working Papers. RePEc:pre:wpaper:202423.

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2024High–low volatility spillover network between economic policy uncertainty and commodity futures markets. (2024). Xiang, Youtao ; Borjigin, Sumuya. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:8:p:1295-1319.

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2024Option‐Implied Ambiguity and Equity Return Predictability. (2024). Chen, Yiyao ; Liu, Yanchu ; Sun, Xianming. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:9:p:1556-1577.

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Recent citations received in 2023
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2023The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots. (2023). Zhou, Wei-Xing ; Dai, Yun-Shi ; Duong, Kiet Tuan. In: Papers. RePEc:arx:papers:2310.16850.

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2023Analytically pricing variance and volatility swaps under a Markov-modulated model with liquidity risks. (2023). He, Xin-Jiang ; Lin, Sha. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000414.

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2023Central bank swap arrangements and exchange rate volatility: Evidence from China. (2023). Yu, Ziliang ; Liu, Zhuqing. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000493.

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2023Impacts of COVID-19 pandemic on corporate cash holdings: Evidence from Korea. (2023). Jhang, Hogyu ; Chung, Hae Jin ; Ryu, Doojin. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000602.

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2023Managerial performance and oil price shocks. (2023). Zhang, Qin ; Wong, Jin Boon. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002621.

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2023A new hybrid deep learning model for monthly oil prices forecasting. (2023). Gong, XU ; Guan, Keqin. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006345.

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2023Which is more important in stock market forecasting: Attention or sentiment?. (2023). Li, Yishuo ; Zhang, Xiaotao ; Wu, Ji George ; Zou, Gaofeng. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s105752192300248x.

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2023Interconnected networks: Measuring extreme risk connectedness between China’s financial sector and real estate sector. (2023). Ouyang, Zisheng ; Zhou, Xuewei. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004088.

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2023Forecasting stock volatility during the stock market crash period: The role of Hawkes process. (2023). Zhang, Xiaotao ; Fan, Lina ; Zhai, Jia ; Yang, Hao. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pa:s154461232300212x.

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2023Contemporaneous and lagged R2 decomposed connectedness approach: New evidence from the energy futures market. (2023). Gabauer, David ; Balli, Hatice ; Nhat, Tam Hoang. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005408.

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2023Economic evaluation of dynamic hedging strategies using high-frequency data. (2023). Lai, Yu-Sheng. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323006025.

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2023Predicting gold volatility: Exploring the impact of extreme risk in the international commodity market. (2023). Tang, Yusui ; Zhong, Juandan. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323008632.

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2023Investor sentiment and futures market mispricing. (2023). Yang, Heejin ; Ryu, Doowon. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323009315.

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2023Do commodity factors work as inflation hedges and safe havens?. (2023). Sakemoto, Ryuta ; Nakagawa, Kei. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pd:s1544612323009571.

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2023Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets. (2023). Zhou, Wei-Xing ; Dai, Yun-Shi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123000884.

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2023The impact of geopolitical risks on connectedness among natural resource commodities: A quantile vector autoregressive approach. (2023). Mandaci, Pinar Evrim ; Azimli, Asil. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pa:s0301420723006682.

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2023Casting shadows on natural resource commodity markets: Unraveling the quantile dilemma of gold and crude oil prices. (2023). Soytas, Ugur ; Ahmad, Najid ; Luqman, Muhammad ; Mugheri, Adil. In: Resources Policy. RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723009807.

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2023Can convertible bond trading predict stock returns? Evidence from China. (2023). Chen, Zhiyu ; Wang, YU ; Xu, Yun. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000926.

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2023Predicting Multi-Scale Positive and Negative Stock Market Bubbles in a Panel of G7 Countries: The Role of Oil Price Uncertainty. (2023). GUPTA, RANGAN ; van Eyden, Renee ; Sheng, Xin ; Nielsen, Joshua. In: Working Papers. RePEc:pre:wpaper:202332.

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2023Analytically pricing European options under a hybrid stochastic volatility and interest rate model with a general correlation structure. (2023). He, Xinjiang ; Lin, Sha. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:7:p:951-967.

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