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 (). Access Statistics for this journal.
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Volume 45, issue 2, 2025
- Which Way Does the Wind Blow Between SPX Futures and VIX Futures? pp. 79-90

- Ekow A. Aikins and Alexander Kurov
- The Economics of Liquid Staking Derivatives: Basis Determinants and Price Discovery pp. 91-117

- Stefan Scharnowski and Hossein Jahanshahloo
- Term Structure and Risk Premiums of Commodity Futures With Linear Regressions pp. 118-142

- Daejin Kim
- From Economic Policy Uncertainty to Implied Market Volatility: Nothing to Fear? pp. 143-157

- Lu Yang
Volume 45, issue 1, 2025
- Optimal Versus Naive Diversification in Commodity Futures Markets pp. 3-22

- 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

- 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

- Fenglong Guo
Volume 44, issue 9, 2024
- The Pay‐for‐Success Contract: A Valuation Note pp. 1465-1473

- Andreas Andrikopoulos and Andrianos Tsekrekos
- The Effect of Anti‐Procyclical Central Counterparty Margins On Trading pp. 1474-1486

- Aniket Bhanu
- Feedback Trading: The Intraday Case of Retail Derivatives pp. 1487-1507

- Rainer Baule, Bart Frijns and Sebastian Schlie
- Cross‐Asset Tandem Trading and Extraordinary Volatility pp. 1508-1542

- Robert Garrison, Pankaj K. Jain and Mark Paddrik
- A New Index of Option Implied Absolute Deviation pp. 1543-1555

- George Dotsis
- Option‐Implied Ambiguity and Equity Return Predictability pp. 1556-1577

- 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

- Youtao Xiang and Sumuya Borjigin
- The asymmetry in day and night option returns: Evidence from an emerging market pp. 1320-1337

- 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

- Mohammad Enamul Hoque, M. Kabir Hassan and Luca Pezzo
- Financialization of commodity markets: New evidence from temporal and spatial domains pp. 1357-1382

- Libo Yin and Hong Cao
- Modeling and forecasting stock return volatility using the HARGARCH model with VIX information pp. 1383-1403

- Zhiyuan Pan, Jun Zhang, Yudong Wang and Juan Huang
- Leave‐one‐out least squares Monte Carlo algorithm for pricing Bermudan options pp. 1404-1428

- Jeechul Woo, Chenru Liu and Jaehyuk Choi
- Forecasting Crude Oil Volatility Using the Deep Learning‐Based Hybrid Models With Common Factors pp. 1429-1446

- 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

- Sha Lin and Xin‐Jiang He
Volume 44, issue 7, 2024
- Commodity premia and risk management pp. 1097-1116

- 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

- Weihan Li, Jin E. Zhang, Xinfeng Ruan and Pakorn Aschakulporn
- Option pricing with dynamic conditional skewness pp. 1154-1188

- Fang Liang and Lingshan Du
- VIX option pricing through nonaffine GARCH dynamics and semianalytical formula pp. 1189-1223

- Junting Liu, Qi Wang and Yuanyuan Zhang
- Corporate credit default swap systematic factors pp. 1224-1256

- Ka Kei Chan, Ming‐Tsung Lin and Qinye Lu
- Trading commodity ETFs: Price behavior, investment insights, and performance analysis pp. 1257-1276

- 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

- 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

- Yan Hu and Jian Ni
- Futures trading costs and market microstructure invariance: Identifying bet activity pp. 901-922

- 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

- Frido Rolloos and Kenichiro Shiraya
- SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates pp. 936-985

- Alan Brace, Karol Gellert and Erik Schlogl
- Lever up! An analysis of options trading in leveraged ETFs pp. 986-1002

- Collin Gilstrap, Alex Petkevich, Pavel Teterin and Kainan Wang
- Riemannian‐geometric regime‐switching covariance hedging pp. 1003-1054

- Hsiang‐Tai Lee
- The impact of air pollution on crude oil futures market pp. 1055-1068

- Ting Yao and Yue‐Jun Zhang
- Considering momentum spillover effects via graph neural network in option pricing pp. 1069-1094

- 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

- Boqiang Lin and Tianxu Lan
- Early exercise, implied volatility spread and future stock return: Jumps bind them all pp. 720-743

- 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

- Bo Yan, Mengru Liang and Yinxin Zhao
- Risky times: Seasonality and event risk of commodities pp. 767-783

- Dominik Boos
- Connectedness and risk spillover in China's commodity futures sectors pp. 784-802

- 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

- Kun Peng, Zhepeng Hu and Michel Robe
- Financial regulatory arbitrage and the financialization of commodities pp. 826-853

- 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

- 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

- 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

- Weiyi Xia, Tao Xiong and Miao Li
- Price discovery and long‐memory property: Simulation and empirical evidence from the bitcoin market pp. 605-618

- 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

- António Miguel Martins
- The convenience yield under commodity financialization pp. 631-652

- Nikolaos Milonas and Evangelia K. Photina
- Hedging securities and Silicon Valley Bank idiosyncrasies pp. 653-672

- Raymond Kim
- The Bitcoin price and Bitcoin price uncertainty: Evidence of Bitcoin price volatility pp. 673-695

- 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

- Mário Correia Fernandes, José Carlos Dias and João Pedro Vidal Nunes
- Derivative disclosures and managerial opportunism pp. 384-419

- Guanming He and Helen Mengbing Ren
- The information content of wheat derivatives regarding the Ukrainian war pp. 420-431

- Nicole Branger, Michael Hanke and Alex Weissensteiner
- Hedging performance analysis of energy markets: Evidence from copula quantile regression pp. 432-450

- 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

- Anthony Rezitis, Panagiotis Andrikopoulos and Theodoros Daglis
- Role of derivatives market in attenuating underreaction to left‐tail risk pp. 484-517

- Sumit Saurav, Sobhesh Kumar Agarwalla and Jayanth Varma
- Left‐digit biases: Individual and institutional investors pp. 518-532

- 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

- 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

- Jiawen Luo and Qun Zhang
- Revisiting the puzzle of jumps in volatility forecasting: The new insights of high‐frequency jump intensity pp. 218-251

- Hui Qu, Tianyang Wang, Peng Shangguan and Mengying He
- Hedging pressure and oil volatility: Insurance versus liquidity demands pp. 252-280

- 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

- Tao Xiong and Miao Li
- Predictability of commodity futures returns with machine learning models pp. 302-322

- Shirui Wang and Tianyang Zhang
- Uncertainty and investment: Evidence from domestic oil rigs pp. 323-340

- Asad Dossani and John Elder
Volume 44, issue 1, 2024
- Market‐wide overconfidence and stock returns pp. 3-26

- 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

- 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

- Shi Yafeng, Yanlong Shi and Ying Tingting
- Calibration in the “real world” of a partially specified stochastic volatility model pp. 75-102

- Lorella Fatone, Francesca Mariani and Francesco Zirilli
- Time‐varying price discovery in regular and microbitcoin futures pp. 103-121

- Yu‐Lun Chen and J. Jimmy Yang
- Leveraging prices from credit and equity option markets for portfolio risk management pp. 122-147

- Jean‐François Bégin, Mathieu Boudreault and Mathieu Thériault
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