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Journal of Futures Markets

1981 - 2025

Current editor(s): Robert I. Webb

From John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

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Volume 45, issue 2, 2025

Which Way Does the Wind Blow Between SPX Futures and VIX Futures? pp. 79-90 Downloads
Ekow A. Aikins and Alexander Kurov
The Economics of Liquid Staking Derivatives: Basis Determinants and Price Discovery pp. 91-117 Downloads
Stefan Scharnowski and Hossein Jahanshahloo
Term Structure and Risk Premiums of Commodity Futures With Linear Regressions pp. 118-142 Downloads
Daejin Kim
From Economic Policy Uncertainty to Implied Market Volatility: Nothing to Fear? pp. 143-157 Downloads
Lu Yang

Volume 45, issue 1, 2025

Optimal Versus Naive Diversification in Commodity Futures Markets pp. 3-22 Downloads
Max Heide, Benjamin R. Auer and Frank Schuhmacher
Volatility of Volatility and VIX Forecasting: New Evidence Based on Jumps, the Short‐Term and Long‐Term Volatility pp. 23-46 Downloads
Gaoxiu Qiao, Wanmei Cui, Yijie Zhou and Chao Liang
Pricing Vulnerable Options With Variance Gamma Systematic and Idiosyncratic Factors by Laplace Transform Inversion pp. 47-76 Downloads
Fenglong Guo

Volume 44, issue 9, 2024

The Pay‐for‐Success Contract: A Valuation Note pp. 1465-1473 Downloads
Andreas Andrikopoulos and Andrianos Tsekrekos
The Effect of Anti‐Procyclical Central Counterparty Margins On Trading pp. 1474-1486 Downloads
Aniket Bhanu
Feedback Trading: The Intraday Case of Retail Derivatives pp. 1487-1507 Downloads
Rainer Baule, Bart Frijns and Sebastian Schlie
Cross‐Asset Tandem Trading and Extraordinary Volatility pp. 1508-1542 Downloads
Robert Garrison, Pankaj K. Jain and Mark Paddrik
A New Index of Option Implied Absolute Deviation pp. 1543-1555 Downloads
George Dotsis
Option‐Implied Ambiguity and Equity Return Predictability pp. 1556-1577 Downloads
Yanchu Liu, Chen Liu, Yiyao Chen and Xianming Sun

Volume 44, issue 8, 2024

High–low volatility spillover network between economic policy uncertainty and commodity futures markets pp. 1295-1319 Downloads
Youtao Xiang and Sumuya Borjigin
The asymmetry in day and night option returns: Evidence from an emerging market pp. 1320-1337 Downloads
Aparna Bhat, Piyush Pandey and S. V. D. Nageswara Rao
Managing risk and reaping rewards: Climate‐change futures as a game‐changer for energy futures markets pp. 1338-1356 Downloads
Mohammad Enamul Hoque, M. Kabir Hassan and Luca Pezzo
Financialization of commodity markets: New evidence from temporal and spatial domains pp. 1357-1382 Downloads
Libo Yin and Hong Cao
Modeling and forecasting stock return volatility using the HARGARCH model with VIX information pp. 1383-1403 Downloads
Zhiyuan Pan, Jun Zhang, Yudong Wang and Juan Huang
Leave‐one‐out least squares Monte Carlo algorithm for pricing Bermudan options pp. 1404-1428 Downloads
Jeechul Woo, Chenru Liu and Jaehyuk Choi
Forecasting Crude Oil Volatility Using the Deep Learning‐Based Hybrid Models With Common Factors pp. 1429-1446 Downloads
Ke Yang, Nan Hu and Fengping Tian
Closed‐Form Formulae for Variance and Volatility Swaps Under Stochastic Volatility With Stochastic Liquidity Risks pp. 1447-1461 Downloads
Sha Lin and Xin‐Jiang He

Volume 44, issue 7, 2024

Commodity premia and risk management pp. 1097-1116 Downloads
John Hua Fan and Tingxi Zhang
An empirical study on the early exercise premium of American options: Evidence from OEX and XEO options pp. 1117-1153 Downloads
Weihan Li, Jin E. Zhang, Xinfeng Ruan and Pakorn Aschakulporn
Option pricing with dynamic conditional skewness pp. 1154-1188 Downloads
Fang Liang and Lingshan Du
VIX option pricing through nonaffine GARCH dynamics and semianalytical formula pp. 1189-1223 Downloads
Junting Liu, Qi Wang and Yuanyuan Zhang
Corporate credit default swap systematic factors pp. 1224-1256 Downloads
Ka Kei Chan, Ming‐Tsung Lin and Qinye Lu
Trading commodity ETFs: Price behavior, investment insights, and performance analysis pp. 1257-1276 Downloads
Elroi Hadad, Davinder Malhotra and Srinivas Nippani
Exploring the unpredictable nature of climate policy uncertainty: An empirical analysis of its impact on commodity futures returns in the United States pp. 1277-1292 Downloads
Chia‐Hsien Tang, Yen‐Hsien Lee, Hung‐Chun Liu and Guan‐Gzhe Zeng

Volume 44, issue 6, 2024

A deep learning‐based financial hedging approach for the effective management of commodity risks pp. 879-900 Downloads
Yan Hu and Jian Ni
Futures trading costs and market microstructure invariance: Identifying bet activity pp. 901-922 Downloads
Ai Jun Hou, Lars L. Nordén and Caihong Xu
A model‐free approximation for barrier options in a general stochastic volatility framework pp. 923-935 Downloads
Frido Rolloos and Kenichiro Shiraya
SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates pp. 936-985 Downloads
Alan Brace, Karol Gellert and Erik Schlogl
Lever up! An analysis of options trading in leveraged ETFs pp. 986-1002 Downloads
Collin Gilstrap, Alex Petkevich, Pavel Teterin and Kainan Wang
Riemannian‐geometric regime‐switching covariance hedging pp. 1003-1054 Downloads
Hsiang‐Tai Lee
The impact of air pollution on crude oil futures market pp. 1055-1068 Downloads
Ting Yao and Yue‐Jun Zhang
Considering momentum spillover effects via graph neural network in option pricing pp. 1069-1094 Downloads
Yao Wang, Jingmei Zhao, Qing Li and Xiangyu Wei

Volume 44, issue 5, 2024

The time‐varying volatility spillover effects between China's coal and metal market pp. 699-719 Downloads
Boqiang Lin and Tianxu Lan
Early exercise, implied volatility spread and future stock return: Jumps bind them all pp. 720-743 Downloads
Ian Garrett and Adnan Gazi
Market sentiment and price dynamics in weak markets: A comprehensive empirical analysis of the soybean meal option market pp. 744-766 Downloads
Bo Yan, Mengru Liang and Yinxin Zhao
Risky times: Seasonality and event risk of commodities pp. 767-783 Downloads
Dominik Boos
Connectedness and risk spillover in China's commodity futures sectors pp. 784-802 Downloads
Jun Long, Xianghui Yuan, Liwei Jin and Chencheng Zhao
Maximum order size and market quality: Evidence from a natural experiment in commodity futures markets pp. 803-825 Downloads
Kun Peng, Zhepeng Hu and Michel Robe
Financial regulatory arbitrage and the financialization of commodities pp. 826-853 Downloads
Zunxin Zheng, Gaiyan Zhang and Yingzhao Ni
Quality issues of implied volatilities of index and stock options in the OptionMetrics IvyDB database pp. 854-875 Downloads
Martin Wallmeier

Volume 44, issue 4, 2024

The predictability of carbon futures volatility: New evidence from the spillovers of fossil energy futures returns pp. 557-584 Downloads
Zhikai Zhang, Yaojie Zhang, Yudong Wang and Qunwei Wang
Can night trading reduce price volatility? Evidence from China's corn and corn starch futures markets pp. 585-604 Downloads
Weiyi Xia, Tao Xiong and Miao Li
Price discovery and long‐memory property: Simulation and empirical evidence from the bitcoin market pp. 605-618 Downloads
Ke Xu, Yu‐Lun Chen, Bo Liu and Jian Chen
Short‐term market impact of Black Sea Grain Initiative on four grain markets pp. 619-630 Downloads
António Miguel Martins
The convenience yield under commodity financialization pp. 631-652 Downloads
Nikolaos Milonas and Evangelia K. Photina
Hedging securities and Silicon Valley Bank idiosyncrasies pp. 653-672 Downloads
Raymond Kim
The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility pp. 673-695 Downloads
Nezir Köse, Hakan Yildirim, Emre Ünal and Boqiang Lin

Volume 44, issue 3, 2024

Performance comparison of alternative stochastic volatility models and its determinants in energy futures: COVID‐19 and Russia–Ukraine conflict features pp. 343-383 Downloads
Mário Correia Fernandes, José Carlos Dias and João Pedro Vidal Nunes
Derivative disclosures and managerial opportunism pp. 384-419 Downloads
Guanming He and Helen Mengbing Ren
The information content of wheat derivatives regarding the Ukrainian war pp. 420-431 Downloads
Nicole Branger, Michael Hanke and Alex Weissensteiner
Hedging performance analysis of energy markets: Evidence from copula quantile regression pp. 432-450 Downloads
Xianling Ren and Xinping Yu
Assessing the asymmetric volatility linkages of energy and agricultural commodity futures during low and high volatility regimes pp. 451-483 Downloads
Anthony Rezitis, Panagiotis Andrikopoulos and Theodoros Daglis
Role of derivatives market in attenuating underreaction to left‐tail risk pp. 484-517 Downloads
Sumit Saurav, Sobhesh Kumar Agarwalla and Jayanth Varma
Left‐digit biases: Individual and institutional investors pp. 518-532 Downloads
Jinyoung Yu, Young‐Chul Kim and Doojin Ryu
Price monotonicity violations during stock market crashes: Evidence from the SSE 50 ETF options market pp. 533-554 Downloads
Xingguo Luo, Doojin Ryu, Libin Tao and Chuxin Ye

Volume 44, issue 2, 2024

Air pollution, weather factors, and realized volatility forecasts of agricultural commodity futures pp. 151-217 Downloads
Jiawen Luo and Qun Zhang
Revisiting the puzzle of jumps in volatility forecasting: The new insights of high‐frequency jump intensity pp. 218-251 Downloads
Hui Qu, Tianyang Wang, Peng Shangguan and Mengying He
Hedging pressure and oil volatility: Insurance versus liquidity demands pp. 252-280 Downloads
Christina Sklibosios Nikitopoulos, Alice Carole Thomas and Jianxin Wang
A tale of two contracts: Was the SHFE copper futures market disrupted by the listing of INE bonded copper futures? pp. 281-301 Downloads
Tao Xiong and Miao Li
Predictability of commodity futures returns with machine learning models pp. 302-322 Downloads
Shirui Wang and Tianyang Zhang
Uncertainty and investment: Evidence from domestic oil rigs pp. 323-340 Downloads
Asad Dossani and John Elder

Volume 44, issue 1, 2024

Market‐wide overconfidence and stock returns pp. 3-26 Downloads
Qiang Chen, Yu Han and Ying Huang
Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐19 pp. 27-56 Downloads
Rafael Baptista Palazzi, Ata Assaf and Marcelo Cabus Klotzle
Can technical indicators based on underlying assets help to predict implied volatility index pp. 57-74 Downloads
Shi Yafeng, Yanlong Shi and Ying Tingting
Calibration in the “real world” of a partially specified stochastic volatility model pp. 75-102 Downloads
Lorella Fatone, Francesca Mariani and Francesco Zirilli
Time‐varying price discovery in regular and microbitcoin futures pp. 103-121 Downloads
Yu‐Lun Chen and J. Jimmy Yang
Leveraging prices from credit and equity option markets for portfolio risk management pp. 122-147 Downloads
Jean‐François Bégin, Mathieu Boudreault and Mathieu Thériault
Page updated 2025-02-06