Journal of Futures Markets

1981 - 2026

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
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Volume 46, issue 6, 2026

On the Comovement of Contango and Backwardation Across Futures Commodity Markets pp. 955-981

Angelo Luisi, Francesco Roccazzella and Athanasios Triantafyllou

Curve Momentum in China pp. 982-1021

Zhenlong Zheng, Yiye Liu, You Wu and Rong Chen

Option Market Value‐Based Reaction and Anticipation of Corporate‐Related Decisions by the United States Supreme Court pp. 1022-1031

Yehuda Davis, Suresh Govindaraj, Yi Liu and Kate Suslava

The Impact of Biodiversity Risk on US Agricultural Futures Markets pp. 1032-1052

Hongjun Zeng and Mohammad Zoynul Abedin

Why Do Hedgers Hedge? The Role of Ambiguity pp. 1053-1078

Fiona Höllmann

Quadratic Hedging of American Options Under GARCH Models pp. 1079-1097

Junmei Ma, Chen Wang and Wei Xu

Enhancing Commodity Futures Price Prediction With Geopolitical Risk Embedding: A Comparative Study of Deep Learning Models pp. 1098-1136

Yong Li, Lulu Qin and Chenying Yang

Improving Implied Volatility Forecasts for American Options Using Neural Networks pp. 1137-1153

Haitong Jiang, Emese Lazar and Miriam Marra

Analytically Pricing Commodity Futures Options Under Financialization With Stochastic Liquidity Risks pp. 1154-1166

Wenting Chen, Fangzhao Zhou and Xin‐Jiang He

Volume 46, issue 5, 2026

Oil Futures Prices, Inflation Expectations, and Bond Risk Premiums pp. 779-798

Haibo Jiang

VIX Term Structure in the Rough Heston Model via Markovian Approximation pp. 799-823

Yifan Ye, Zheqi Fan and Yue Kuen Kwok

Forecasting Crude Oil Volatility With Geopolitical Risk: The RSV–MIDAS–GPR Model and Its Economic Value pp. 824-842

Ke Yang, Xuebao Yin and Fengping Tian

Harnessing Sunshine: A Dynamic Spillover Analysis of the Diversification Effects of China's Photovoltaic Weather Index pp. 843-862

Yu Wei, Yue Shang, Qian Wang and Xiaodan Chen

Downside Risk and Agriculture Commodity Futures Returns: A Study Using Self‐Organizing Maps pp. 863-877

Santanu Das

Connectedness Across Healthcare Cryptocurrencies, DeFi, and NFTs Tokens: Which Global Risk Factors Should Be Given More Attention? pp. 878-903

Nasir Khan, Khaled Guesmi, Tong Su and Brian Lucey

Trading Periodicity and Algorithmic Divide in Cryptocurrency Markets pp. 904-930

Andrei Shynkevich

The Role of Price‐Volatility Cojumps in Volatility Forecasting pp. 931-951

Kefu Liao

Volume 46, issue 4, 2026

The Case of Fleeting Orders and Flickering Quotes pp. 629-652

Markus Ulze, Johannes Stadler and Andreas W. Rathgeber

Gold Jump Risk, Rare Macroeconomic Disaster Probability, and Expected Stock Returns pp. 653-674

Nima Ebrahimi and Stephen P. Ferris

Watching the FedWatch pp. 675-697

Stefano Bonini, Shengyu Huang and Majeed Simaan

Overnight Reversals of Implied Higher Moments and Their Put‐Call Spreads pp. 698-718

Geul Lee and Doojin Ryu

Energy‐Related Discussion in Fed Speeches and Options‐Implied Equity Risk Premium pp. 719-737

Alok Dixit, Sanchit Jain, Brian Lucey and Jalaj Pathak

More Attention to Macroeconomic Risks and Better Forecasting of Energy Volatility pp. 738-753

Zhiping Zhou and Kai Wang

The Dollar's Double Life: Not All Dollar Appreciations Are Born Equal for the Cross‐Currency Basis pp. 754-772

Daniel Felix Ahelegbey, Oyakhilome Wallace Ibhagui and Florian Gerth

Volume 46, issue 3, 2026

Does Sentiment Measured Through Language Models Encompass a Broader Expanse of Information From the Options Market? pp. 489-510

Enmao Liu and Cong Sui

Crash Risk Matters: An Option‐Implied Approach to the Expected Market Return pp. 511-528

Qiang Chen and Xinyi Song

When the Tail Wags the Dog: A Time‐Varying FCVAR Analysis of Bitcoin Market pp. 529-544

Filippo di Pietro, Antonio A. Golpe and José Carlos Vides

Joint Dynamics for the Underlying Asset and Its Implied Volatility Surface: A New Methodology for Option Risk Management pp. 545-561

Pascal François, Rémi Galarneau‐Vincent, Geneviève Gauthier and Frédéric Godin

The Impact of Derivative Use on Default Probability Among Nonfinancial Firms: Evidence From European Firms pp. 562-581

Amrit Judge, Khai Le and Kim Ly

Signature Decomposition Method Applying to Pair Trading pp. 582-603

Zihao Guo, Hanqing Jin, Jiaqi Kuang, Zhongmin Qian and Jinghan Wang

A Generalized Error Distribution‐Copula Framework for Pricing Chinese Treasury Bond Futures With Embedded Options pp. 604-624

Xiaofeng Yang

Volume 46, issue 2, 2026

Determinants of Price Discovery in Option Markets: An Interpretable Machine Learning Perspective pp. 237-261

Jufang Liang, Dan Yang and Qian Han

Large Language Models and Futures Price Factors in China pp. 262-282

Yuhan Cheng, Yanchu Liu and Heyang Zhou

Extreme Comovement and Risk Spillovers in Crude Oil Prices: A Tale of Two Events pp. 283-319

Haoyu Shi, Yuansheng Wang and Xu Zheng

Speed of Adjustment in Digital Assets in a Decentralized Financial World pp. 320-333

Jeremy Eng‐Tuck Cheah, Thong Dao, Hung Do and Tapas Mishra

Dynamic Debt With Intensity‐Based Models pp. 334-352

João Miguel Reis and José Carlos Dias

Modeling Grain Futures Prices Through Uncertainty Indices and Mixed‐Frequency Fusion: An Interpretable Deep Learning Framework pp. 353-380

Weixin Sun, Minghao Li, Li Zhang and Yong Wang

Does Cutting Carbon Emissions Reduce Tail Risk Spillovers? A Quantile LSTM‐KAN‐CoVaR Approach pp. 381-412

Ziwei Wang, Yibo Liu and Peng Lu

Does Financial Stress Affect Commodity Futures Traders' Positions? pp. 413-434

Shengwu Du, Travis D. Nesmith and Yanggen Heppe

Predicting Market Returns Using Covariance Asymmetry Risk Premium pp. 435-462

Zhenxiong Li, Xinfeng Ruan and Xingzhi Yao

Investor Attention and Carbon Prices: Evidence From European Union and China pp. 463-486

Jing Ye and Na Wu

Volume 46, issue 1, 2026

Option Implied Volatility and Trading Strategies Based on Neural Network Correction pp. 3-19

Xinyu Duan, Qingfu Liu, Zhengyun Xu, Zhiliang Ying and Xiaohong Zhang

Rare Disaster Concerns in Predicting Oil pp. 20-42

Zhen Cao, Yuanzhi Wang, Lean Yu and Qunzi Zhang

Tick Size, Lot Size, and Liquidity in Futures Trading pp. 43-55

Lars L. Nordén, Chengcheng Qu and Caihong Xu

Virtual Commodities and Futures Markets of Tangible Commodities pp. 56-75

Che‐Chun Lin, Hung‐Wei Lee and I‐Chun Tsai

Uncertain HAR‐RV Models and Their Extensions: A New Perspective on Forecasting the Volatility of China's Crude Oil Futures pp. 76-100

Yuxin Shi, Lu Wang and Chao Liang

Untangling Market Links: A QVAR‐TVP VAR Analysis of Precious Metals and Oil Amid the Pandemic pp. 101-120

Syed Raza, Maiyra Ahmed and Sajid Ali

Forecasting Crude Oil Price Volatility With Analyst Commentary Sentiment: A Nonlinear Analysis Using Deep‐Learning Models pp. 121-137

Yue‐Jun Zhang, Yuan‐Yuan Zhang, Han Zhang and Zhuo Tang

VIX Option Pricing With Detected Jumps pp. 138-156

Zhiyu Guo, Zhuo Huang and Chen Tong

An Interconnected Multilayer Network Perspective: Extreme Risk Spillovers in Commodity and Stock Markets pp. 157-174

Hongyue Guo, Yongxuan Han, Boxiang Jia, Bin Meng and Cong Sui

Deep Learning‐Based Network Relationship Construction Method and Its Impact on Futures Risk Premiums pp. 175-196

Chen Chuanglian, Lin Huanheng and Lin Yuting

The Chaos of Climate Ambitions: Climate Policy Uncertainty and the Volatility Risk in Commodity Markets pp. 197-220

Shuhui Zhu, Fenglin Wu, Yufan Wan and Yanshuang Li

Equilibrium Pricing of Bitcoin Options With Stochastic Volatility, Jumps, and Liquidity Risk pp. 221-234

Jingrui Li