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

Citation Profile [Updated: 2025-02-04 18:53:44]
5 Years H Index
45
Impact Factor (IF)
0.81
5 Years IF
0.76
Data available in this report

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

Main indicators
Raw Data

 

IF AIF CIF IF5 DOC CDO CIT NCI CCU D2Y C2Y D5Y C5Y SC %SC CiY II AII
1990 0.02 0.11 0.51 0.03 49 49 259 25 25 96 2 245 8 0 1 0.02 0.05
1991 0.04 0.1 0.13 0.03 52 101 376 13 38 97 4 244 7 0 0 0.05
1992 0.02 0.11 0.31 0.04 41 142 274 44 82 101 2 246 9 0 1 0.02 0.06
1993 0.03 0.13 0.12 0.02 55 197 500 24 106 93 3 238 4 0 0 0.06
1994 0.07 0.14 0.15 0.07 42 239 297 36 142 96 7 245 18 0 1 0.02 0.07
1995 0.05 0.22 0.2 0.05 30 269 446 54 196 97 5 239 13 0 2 0.07 0.09
1996 0.17 0.25 0.2 0.12 46 315 1046 62 259 72 12 220 26 2 3.2 1 0.02 0.12
1997 0.12 0.24 0.32 0.14 39 354 308 113 372 76 9 214 30 0 2 0.05 0.11
1998 0.19 0.28 0.28 0.17 38 392 279 111 483 85 16 212 36 0 0 0.13
1999 0.1 0.31 0.3 0.15 44 436 654 131 614 77 8 195 30 6 4.6 0 0.15
2000 0.07 0.36 0.19 0.12 43 479 372 92 706 82 6 197 24 0 1 0.02 0.16
2001 0.09 0.39 0.23 0.13 43 522 646 122 828 87 8 210 28 0 1 0.02 0.17
2002 0.15 0.41 0.25 0.16 43 565 259 144 972 86 13 207 33 0 1 0.02 0.21
2003 0.12 0.44 0.21 0.12 42 607 306 125 1098 86 10 211 26 3 2.4 1 0.02 0.22
2004 0.13 0.49 0.26 0.13 49 656 525 169 1267 85 11 215 28 0 2 0.04 0.22
2005 0.09 0.51 0.27 0.15 37 693 317 189 1456 91 8 220 34 12 6.3 3 0.08 0.24
2006 0.2 0.51 0.36 0.18 39 732 393 261 1717 86 17 214 39 0 2 0.05 0.23
2007 0.09 0.46 0.2 0.14 40 772 357 158 1875 76 7 210 30 5 3.2 1 0.03 0.2
2008 0.16 0.49 0.28 0.16 48 820 457 229 2104 79 13 207 33 1 0.4 1 0.02 0.23
2009 0.3 0.48 0.37 0.26 43 863 410 322 2427 88 26 213 55 1 0.3 0 0.24
2010 0.16 0.48 0.29 0.22 48 911 391 256 2687 91 15 207 45 2 0.8 4 0.08 0.21
2011 0.18 0.52 0.29 0.22 38 949 431 274 2961 91 16 218 49 13 4.7 0 0.24
2012 0.2 0.52 0.26 0.19 41 990 459 259 3222 86 17 217 41 6 2.3 7 0.17 0.22
2013 0.48 0.56 0.42 0.32 40 1030 210 427 3652 79 38 218 69 8 1.9 5 0.13 0.24
2014 0.44 0.55 0.42 0.39 47 1077 424 452 4105 81 36 210 82 4 0.9 14 0.3 0.23
2015 0.59 0.55 0.82 0.64 49 1126 482 923 5029 87 51 214 136 12 1.3 32 0.65 0.23
2016 0.93 0.52 0.91 0.75 46 1172 561 1068 6097 96 89 215 162 41 3.8 17 0.37 0.21
2017 1.01 0.54 0.87 0.76 50 1222 400 1062 7161 95 96 223 170 17 1.6 8 0.16 0.22
2018 0.94 0.55 0.84 0.78 63 1285 429 1083 8244 96 90 232 181 173 16 13 0.21 0.23
2019 0.84 0.56 0.88 0.9 61 1346 362 1180 9424 113 95 255 230 154 13.1 18 0.3 0.23
2020 0.84 0.67 0.91 0.93 78 1424 429 1293 10717 124 104 269 251 237 18.3 24 0.31 0.32
2021 1.05 0.79 0.91 0.91 72 1496 285 1355 12072 139 146 298 272 234 17.3 32 0.44 0.29
2022 1.11 0.83 0.84 0.96 76 1572 133 1319 13391 150 167 324 310 213 16.1 15 0.2 0.25
2023 0.82 0.82 0.68 0.79 53 1625 77 1111 14502 148 122 350 278 163 14.7 18 0.34 0.23
2024 0.81 1.05 0.52 0.76 49 1674 9 871 15373 129 105 340 259 129 14.8 8 0.16 0.27
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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503
21995Predicting stock market volatility: A new measure. (1995). Fleming, Jeff ; Ostdiek, Barbara ; Whaley, Robert E.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:15:y:1995:i:3:p:265-302.

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153
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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121
41999Price discovery in the German equity index derivatives markets. (1999). Booth, Geoffrey G. ; Tse, Yiuman ; So, Raymond W.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:6:p:619-643.

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120
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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114
61996Trading costs and the relative rates of price discovery in stock, futures, and option markets. (1996). Fleming, Jeff ; Ostdiek, Barbara ; Whaley, Robert E.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:16:y:1996:i:4:p:353-387.

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110
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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107
82001What moves the gold market?. (2001). Wong, Michael ; Cai, Jun ; Cheung, YanLeung ; Michael C. S. Wong, . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:3:p:257-278.

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106
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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102
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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96
112016Do 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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89
122009A new information share measure. (2009). Lien, Donald ; Shrestha, Keshab. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:4:p:377-395.

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85
131994Price 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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84
141999Price 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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83
15The importance of global economic policy uncertainty in predicting gold futures market volatility: A GARCH‐MIDAS approach. (2018). Chen, Baizhu ; Fang, Libing ; Qian, Yichuo ; Yu, Honghai. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:38:y:2018:i:3:p:413-422.

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81
162014The Predictive Content of Commodity Futures. (2014). Coibion, Olivier ; Chinn, Menzie ; MenzieD. Chinn, . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:34:y:2014:i:7:p:607-636.

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81
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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80
181995Bivariate 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
192008Informed trading in the index option market: The case of KOSPI 200 options. (2008). Ryu, Doojin ; Kang, Jangkoo ; Ahn, HeeJoon . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:28:y:2008:i:12:p:1118-1146.

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73
202000Efficient use of commodity futures in diversified portfolios. (2000). Jensen, Gerald R. ; Johnson, Robert R. ; Mercer, Jeffrey M.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:20:y:2000:i:5:p:489-506.

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72
212001Hedge Fund Performance and Manager Skill. (2001). Edwards, Franklin R. ; Caglayan, Mustafa Onur . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:11:p:1003-1028.

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69
22Do 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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67
232011Volatility spillover effects and cross hedging in corn and crude oil futures. (2011). Wu, Feng ; Guan, Zhengfei ; Myers, Robert J.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:11:p:1052-1075.

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66
24The information content of an open limit‐order book. (2009). Cao, Charles ; Wang, Xiaoxin ; Hansch, Oliver . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:1:p:16-41.

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65
252019Price 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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64
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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63
272011Price discovery and investor structure in stock index futures. (2011). Salm, Christian A. ; Schuppli, Michael ; Bohl, Martin T.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:3:p:282-306.

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61
281993Nonlinear 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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61
291985The degree of price resolution: The case of the gold market. (1985). Tschoegl, Adrian ; Ball, Clifford A. ; Torous, Walter N.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:5:y:1985:i:1:p:29-43.

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60
301990South 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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60
312016Who Sets the Price of Gold? London or New York. (2016). Putnins, Talis ; Hauptfleisch, Martin ; Lucey, Brian. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:6:p:564-586.

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58
321991Price 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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57
331997Futures 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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57
34Quantile 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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53
351993Price 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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52
36Measuring 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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51
371993Cointegration 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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51
382001Investor 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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51
392017Oil 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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51
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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50
412015The 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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49
422009Do 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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49
43Predicting financial volatility: High‐frequency time‐series forecasts vis‐à‐vis implied volatility. (2004). Zein, Jason ; Martens, Martin . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:24:y:2004:i:11:p:1005-1028.

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49
441985Some determinants of the volatility of futures prices. (1985). Anderson, Ronald W.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:5:y:1985:i:3:p:331-348.

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48
452010The 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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48
461999VaR without correlations for portfolios of derivative securities. (1999). Baroneadesi, Giovanni ; Vosper, Les ; Giannopoulos, Kostas . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:5:p:583-602.

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47
472012An analytical formula for VIX futures and its applications. (2012). Lian, Guanghua ; Zhu, Songping. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:32:y:2012:i:2:p:166-190.

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47
482020BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness. (2020). Sohn, Sungbin ; Park, Heungju ; Choi, Jaehyuk ; Alexander, Carol. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:1:p:23-43.

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47
492011Return distributions and volatility forecasting in metal futures markets: Evidence from gold, silver, and copper. (2011). Khalifa, Ahmed ; Ahmed A. A. Khalifa, ; Ramchander, Sanjay ; Miao, Hong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:1:p:55-80.

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46
502007An examination of momentum strategies in commodity futures markets. (2007). Szakmary, Andrew C. ; Sharma, Subhash C. ; Shen, Qian . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:27:y:2007:i:3:p:227-256.

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46
50 most relevant documents in this series (papers most cited in the last two years)
#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.

Full description at Econpapers || Download paper

55
21995Predicting stock market volatility: A new measure. (1995). Fleming, Jeff ; Ostdiek, Barbara ; Whaley, Robert E.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:15:y:1995:i:3:p:265-302.

Full description at Econpapers || Download paper

21
32020Return 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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19
42022The role of textual analysis in oil futures price forecasting based on machine learning approach. (2022). Chen, Qiyang ; Guan, Keqin ; Gong, XU. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:10:p:1987-2017.

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19
52019Price 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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19
62020BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness. (2020). Sohn, Sungbin ; Park, Heungju ; Choi, Jaehyuk ; Alexander, Carol. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:1:p:23-43.

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18
72021Volatility 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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16
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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15
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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14
102021Effects of structural changes on the prediction of downside volatility in futures markets. (2021). Lin, Boqiang ; Gong, XU. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:7:p:1124-1153.

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14
112020Estimating the connectedness of commodity futures using a network approach. (2020). Yu, Honghai ; Fang, Libing ; Ding, Sifang ; Xiao, Binqing. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:4:p:598-616.

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14
121999Price discovery in the German equity index derivatives markets. (1999). Booth, Geoffrey G. ; Tse, Yiuman ; So, Raymond W.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:19:y:1999:i:6:p:619-643.

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13
132009A new information share measure. (2009). Lien, Donald ; Shrestha, Keshab. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:29:y:2009:i:4:p:377-395.

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13
142016Fundamentals, 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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13
152017Oil 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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12
162004Volatility 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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11
172011Volatility spillover effects and cross hedging in corn and crude oil futures. (2011). Wu, Feng ; Guan, Zhengfei ; Myers, Robert J.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:31:y:2011:i:11:p:1052-1075.

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11
182019Economic policy uncertainty, CDS spreads, and CDS liquidity provision. (2019). Xu, Weike ; Wang, Xinjie ; Zhong, Zhaodong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:4:p:461-480.

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11
192020The effect of oil price shocks on asset markets: Evidence from oil inventory news. (2020). Alquist, Ron ; Jin, Jianjian ; Ellwanger, Reinhard. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:8:p:1212-1230.

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11
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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11
212021Fractional cointegration in bitcoin spot and futures markets. (2021). Xu, KE ; Wu, Jinghong ; Chen, Jian ; Zheng, Xinwei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:9:p:1478-1494.

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10
222015Does 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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10
232023The 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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242023Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach. (2023). Hao, Jun ; Li, Jianping ; Yang, Xian ; Zhang, XU. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:6:p:705-733.

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252021Price discovery in chinese agricultural futures markets: A comprehensive look. (2021). Wang, Tao ; Li, Zheng ; Yang, Jian. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:4:p:536-555.

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262020The untold story of commodity futures in China. (2020). Fan, John Hua ; Zhang, Tingxi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:4:p:671-706.

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272018Economic significance of commodity return forecasts from the fractionally cointegrated VAR model. (2018). Xu, Ke ; Nielsen, Morten ; Narayan, Paresh Kumar ; Dolatabadi, Sepideh. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:38:y:2018:i:2:p:219-242.

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282017Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach. (2017). Huang, Zhuo ; Hansen, Peter Reinhard ; Wang, Tianyi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:37:y:2017:i:4:p:328-358.

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292019Price discovery in commodity derivatives: Speculation or hedging?. (2019). Michayluk, David ; Patel, Vinay. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:9:p:1107-1121.

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302021Forty years of the Journal of Futures Markets: A bibliometric overview. (2021). Kumar, Satish ; Baker, Kent H ; Pandey, Nitesh. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:7:p:1027-1054.

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312016The Return–Volatility Relation in Commodity Futures Markets. (2016). Nikitopoulos-Sklibosios, Christina ; Kang, Boda ; Chiarella, Carl. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:2:p:127-152.

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322023Climate change attention and carbon futures return prediction. (2023). Sun, Chuanwang ; Guan, Keqin ; Li, Mengjie ; Gong, XU. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1261-1288.

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332020A revisit to the hedge and safe haven properties of gold: New evidence from China. (2020). Ming, Lei ; Yang, Shenggang ; Liu, Qianqiu ; Zhang, Xinran . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:9:p:1442-1456.

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342018Price discovery dynamics in European agricultural markets. (2018). Bohl, Martin T ; Admmer, Philipp. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:38:y:2018:i:5:p:549-562.

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352019The impacts of public news announcements on intraday implied volatility dynamics. (2019). Ryu, Doojin ; Lee, Jieun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:6:p:656-685.

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361999Price 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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372022Do oil shocks impact stock liquidity?. (2022). Wong, Jin Boon ; Zhang, Qin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:3:p:472-491.

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382012Intraday 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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392023Analytically pricing exchange options with stochastic liquidity and regime switching. (2023). Lin, Sha ; He, Xinjiang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:5:p:662-676.

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402015The 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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412014The Predictive Content of Commodity Futures. (2014). Coibion, Olivier ; Chinn, Menzie ; MenzieD. Chinn, . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:34:y:2014:i:7:p:607-636.

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422018A comprehensive look at the return predictability of variance risk premia. (2018). Frijns, Bart ; Byun, Sukjoon ; Roh, Taia Yong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:38:y:2018:i:4:p:425-445.

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432021Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility. (2021). Tsakou, Katerina ; McMillan, David G ; Kambouroudis, Dimos S. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:10:p:1618-1639.

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441999The 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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452016Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics. (2016). Thorp, Susan ; Silvennoinen, Annastiina. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:36:y:2016:i:6:p:522-544.

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462001Asset 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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472020The market quality of commodity futures markets. (2020). Xie, Yuchi ; Tse, Yiuman ; Luo, Qian ; Liu, Qingfu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:11:p:1751-1766.

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482021Return and volatility connectedness of Chinese onshore, offshore, and forward exchange rate. (2021). Vo, Xuan Vinh ; Umar, Zaghum ; Zhao, Yanping. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:11:p:1843-1860.

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492014Hawkes Process: Fast Calibration, Application to Trade Clustering, and Diffusive Limit. (2014). DA FONSECA, José ; Zaatour, Riadh. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:34:y:2014:i:6:p:548-579.

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502001What moves the gold market?. (2001). Wong, Michael ; Cai, Jun ; Cheung, YanLeung ; Michael C. S. Wong, . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:21:y:2001:i:3:p:257-278.

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2024Spillover effects between fossil energy and green markets: Evidence from informational inefficiency. (2024). Urquhart, Andrew ; Duan, Kun ; Xiao, YA ; Ren, Xiaohang. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324000252.

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2024Market discipline and policy loans. (2024). Niehaus, Greg ; Chiang, Chia-Chun. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:159:y:2024:i:c:s0378426623002716.

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2024Does public information facilitate price consensus? Characterizing USDA announcement effects using realized volatility. (2024). Janzen, Joseph P ; Bunek, Gabriel D. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851324000011.

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2024ESG reputation risks, cash holdings, and payout policies. (2024). Zhang, Qin ; Wong, Jin Boon. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s154461232301067x.

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2024Financial market development and corporate risk management: Evidence from Shanghai crude oil futures launched in China. (2024). Wu, Ji ; Chen, Longxuan ; Hao, Jing. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s014098832300748x.

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2024Seeking a shock haven: Hedging extreme upward oil price changes. (2024). HU, YANG ; Conlon, Thomas ; Corbet, Shaen ; Hou, Yang ; Oxley, Les. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001777.

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2024How Foreign Institutional Investors€™ Ownership Affects Stock Liquidity? Evidence from China. (2024). Wu, Qiong ; Lai, Fujun ; Xiong, Deping ; Zhu, Sha. In: SAGE Open. RePEc:sae:sagope:v:14:y:2024:i:2:p:21582440241260509.

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2024Fundamentals of Perpetual Futures. (2022). von Wachter, Victor ; Ross, Omri ; Manela, Asaf ; He, Songrun. In: Papers. RePEc:arx:papers:2212.06888.

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2024Silicon Valley Bank bankruptcy and Stablecoins stability. (2024). Galati, Luca ; Capalbo, Francesco. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005173.

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2024Effects of option incentive compensation on corporate innovation: The case of China. (2024). Ryu, Doojin ; Kim, Hyeong Jun ; Frijns, Bart ; Cheng, Rui. In: Economic Systems. RePEc:eee:ecosys:v:48:y:2024:i:1:s0939362523001103.

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2024Analytical valuation of vulnerable chained options. (2024). Zhou, KE ; Zhang, Jiayi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001924.

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2024Can technical indicators based on underlying assets help to predict implied volatility index. (2024). Shi, Yanlong ; Yafeng, Shi ; Tingting, Ying. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:1:p:57-74.

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2024On practitioners closed-form GARCH option pricing. (2024). Kabir, Humayun M ; Talukdar, Bakhtear ; Frijns, Bart ; Mozumder, Sharif. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s105752192400228x.

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2024Maximum order size and market quality: Evidence from a natural experiment in commodity futures markets. (2024). Robe, Michel A ; Hu, Zhepeng ; Peng, Kun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:5:p:803-825.

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2024The impact of deviations from soybean product crushing estimates on return and risk. (2024). Chitavi, Michael ; Abdoh, Hussein. In: Agricultural Economics. RePEc:bla:agecon:v:55:y:2024:i:2:p:181-199.

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2024Pricing first-touch digitals with a multi-step double boundary and American barrier options. (2024). Kong, Byungdoo ; Ha, Hongjun ; Lee, Hangsuck. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323010711.

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2024Do commodity futures have a steering effect on the spot stock market in China? New evidence from volatility forecasting. (2024). Liao, Yin ; Bouri, Elie ; Ma, Feng ; Lu, Fei. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001947.

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2024Corporate bonds: fixed versus stochastic coupons—an empirical study. (2024). Karim, Muhammad Mahmudul ; Baaquie, Belal Ehsan. In: Journal of Asset Management. RePEc:pal:assmgt:v:25:y:2024:i:1:d:10.1057_s41260-023-00343-y.

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2024Resource curse in OPEC with varied levels of financial regulations and constraints: The role of oil price shocks and digital finance. (2024). Sun, Tianmin ; Qi, Songqiao. In: Resources Policy. RePEc:eee:jrpoli:v:91:y:2024:i:c:s0301420724002216.

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2024Attention to climate change and eco-friendly financial-asset prices: A quantile ARDL approach. (2024). , Walid. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004043.

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2024Dynamic nonlinear effects of geopolitical risks on commodities: Fresh evidence from quantile methods. (2024). Zhao, Rongjie ; Nie, HE ; Mo, Bin. In: Energy. RePEc:eee:energy:v:288:y:2024:i:c:s0360544223031535.

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2024Global uncertainties and Australian financial markets: Quantile time-frequency connectedness. (2024). Hammoudeh, Shawkat ; Roubaud, David ; Asadi, Mehrad ; Sheikh, Umaid A. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000309.

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2024Dynamic linkages in agricultural and energy markets: A quantile impulse response approach. (2024). Li, Jian ; Chavas, Jeanpaul ; Wang, Linjie. In: Agricultural Economics. RePEc:bla:agecon:v:55:y:2024:i:4:p:639-676.

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2024The higher-order moments connectedness between rare earth and clean energy markets and the role of geopolitical risk:New insights from a TVP-VAR framework. (2024). Gao, Wang ; Wei, Jiajia ; Zhang, Hongwei. In: Energy. RePEc:eee:energy:v:305:y:2024:i:c:s0360544224020541.

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2024The impact of North Korean nuclear threat on stock market linkages in Northeast Asia: The case of South Korea, China, and Japan. (2024). Lee, Geesun. In: Finance Research Letters. RePEc:eee:finlet:v:66:y:2024:i:c:s1544612324007578.

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2024Analyzing the Role of the Real Estate Sector in the Sectoral Network of the Chinese Economy. (2024). Nong, Huifu. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:70:y:2024:i:c:p:567-580.

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2024Star analyst activities and stock price synchronicity: Korean equity market reforms. (2024). Kim, Karam ; Yu, Jinyoung ; Ryu, Doojin. In: Emerging Markets Review. RePEc:eee:ememar:v:61:y:2024:i:c:s1566014124000438.

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2024The predictability of carbon futures volatility: New evidence from the spillovers of fossil energy futures returns. (2024). Zhang, Yaojie ; Wang, Qunwei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:4:p:557-584.

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2024Shock transmission between climate policy uncertainty, financial stress indicators, oil price uncertainty and industrial metal volatility: Identifying moderators, hedgers and shock transmitters. (2024). Shahbaz, Muhammad ; Jiao, Zhilun ; Sheikh, Umaid A ; Tabash, Mosab I. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004407.

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2024Model-driven multimodal LSTM-CNN for unbiased structural forecasting of European Union allowances open-high-low-close price. (2024). Wang, Xiaokang ; Zhao, Jianyu ; Huang, Wenyang. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001671.

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2024Forecasting carbon prices under diversified attention: A dynamic model averaging approach with common factors. (2024). Zhang, Yaojie ; Wang, Qunwei. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002457.

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2024Climate risk and corporate ESG performance: Evidence from China. (2024). Yin, Zhujia ; Deng, Rantian ; Zhao, Lili ; Xia, Jiejin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001700.

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2024The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots. (2024). Duong, Kiet Tuan ; Dai, Yun-Shi ; Zhou, Wei-Xing. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:217:y:2024:i:c:p:91-111.

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2024Decomposing risk spillover effect in international stock market: A novel intertemporal network topology approach. (2024). Naeem, Muhammad Abubakr ; Lv, Zhiyu ; Zhang, XU ; Liu, Jiawen ; Rauf, Abdul. In: Finance Research Letters. RePEc:eee:finlet:v:63:y:2024:i:c:s154461232400401x.

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2024Mineral Metamorphosis: Tracing the static and dynamic nexus between minerals and global south markets. (2024). Ali, Shoaib ; Mirza, Nawazish ; Al-Nassar, Nassar S ; Naveed, Muhammad. In: Resources Policy. RePEc:eee:jrpoli:v:96:y:2024:i:c:s0301420724005890.

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2024Is the tone of the government-controlled media valuable for capital market? Evidence from Chinas new energy industry. (2024). Hua, Xia ; Li, Jiaqi ; Xu, Zhiwei ; Ren, Pengyue. In: Energy Policy. RePEc:eee:enepol:v:184:y:2024:i:c:s0301421523005025.

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2024A novel secondary decomposition method for forecasting crude oil price with twitter sentiment. (2024). Li, Ling ; Qian, Shuangyue ; Tang, Ling ; Wu, Jun ; Guo, Yuanxuan. In: Energy. RePEc:eee:energy:v:290:y:2024:i:c:s0360544223033480.

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2024Using Generative Pre-Trained Transformers (GPT) for Electricity Price Trend Forecasting in the Spanish Market. (2024). Heredia, Jose Antonio ; Medina, Alberto Menendez. In: Energies. RePEc:gam:jeners:v:17:y:2024:i:10:p:2338-:d:1393354.

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2024Dynamic volatility spillover and market emergency: Matching and forecasting. (2024). Chen, Jin ; Zhou, Wei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000354.

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2024Oil prices and systemic financial risk: A complex network analysis. (2024). Gong, XU ; Wen, Fenghua ; Wang, Kangsheng. In: Energy. RePEc:eee:energy:v:293:y:2024:i:c:s0360544224004444.

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2024The information content of Shanghai crude oil futures vs WTI benchmark: Evidence from temporal and spatial dimensions. (2024). Guo, Yumei ; Cao, Hong ; Yin, Libo. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324002007.

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2024Technology and automation in financial trading: A bibliometric review. (2024). Cumming, Douglas ; Care, Rosella. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002642.

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2024Pricing vulnerable spread options with liquidity risk under Lévy processes. (2024). Yu, Baimin ; Wang, Xingchun ; Cai, Chengyou. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000494.

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2024Equilibrium pricing of European crude oil options with stochastic behaviour and jump risks. (2024). Yue, Jia ; He, Xin-Jiang ; Yang, Ben-Zhang ; Hu, Zhihao. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:219:y:2024:i:c:p:212-230.

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2024Multi-regime foreign exchange rate model: Calibration and pricing. (2024). Zhang, Ziqing. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:220:y:2024:i:c:p:204-218.

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2024Analytically pricing European options in dynamic markets: Incorporating liquidity variations and economic cycles. (2024). He, Xin-Jiang ; Lin, Sha ; Pasricha, Puneet. In: Economic Modelling. RePEc:eee:ecmode:v:139:y:2024:i:c:s0264999324001962.

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2024The valuation of American options with the stochastic liquidity risk and jump risk. (2024). Guo, Xunxiang ; Huang, Shoude ; Wang, KE ; Zhang, Hongyu. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:650:y:2024:i:c:s0378437124004205.

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2024Volatility dynamics of agricultural futures markets under uncertainties. (2024). Uddin, Gazi ; Zhu, Xuening ; Sheng, Lin Wen ; Park, Donghyun ; Dutta, Anupam. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004626.

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2024Detecting financial contagion using a new nonparametric measure of asymmetric comovements. (2024). Yuan, DI ; Xu, Yixiong ; Zhang, Feipeng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:284-296.

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2024US dollar and oil market uncertainty: New evidence from explainable machine learning. (2024). Kocaarslan, Baris. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004057.

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2024Pricing of discretely sampled arithmetic Asian options, under the Hull–White interest rate model. (2024). Lee, Jin Young ; Kim, Jeongsim ; Yoon, Hyungkuk. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001645.

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2024Entropy Augmented Asset Pricing Model: Study on Indian Stock Market. (2024). Barai, Parama ; Mishra, Harshit. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:31:y:2024:i:1:d:10.1007_s10690-023-09407-w.

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2024Fear of missing out and market stability: A networked minority game approach. (2024). Webb, Robert I ; Ryu, Doojin ; Park, Daehyeon. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:634:y:2024:i:c:s0378437123009755.

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2024An study of liquidity shock, financial market participation on hollowing behavior of controlling shareholder. (2024). Gui, Zhou ; Lu, Xiaoyu. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612323013314.

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2024Stock price synchronicity and market liquidity: The role of funding liquidity. (2024). Yu, Jinyoung ; Webb, Robert I ; Ryu, Doojin. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000813.

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2024Dual effects of investor sentiment and uncertainty in financial markets. (2024). Ryu, Doojin ; Cho, Hoon ; Seok, Sangik. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:300-315.

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

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2024

Recent citations received in 2023
YearCiting document
2023The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots. (2023). Dai, Yun-Shi ; Zhou, Wei-Xing ; 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). Lin, Sha ; He, Xin-Jiang. 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). Li, Yang ; Liu, Zhuqing ; Yu, Ziliang. 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). Ryu, Doojin ; Jhang, Hogyu ; Chung, Hae Jin. 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). Wu, Ji George ; Zou, Gaofeng ; Li, Yishuo ; Zhang, Xiaotao. 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). Zhou, Xuewei ; Ouyang, Zisheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004088.

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

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2023Predicting gold volatility: Exploring the impact of extreme risk in the international commodity market. (2023). Zhong, Juandan ; Tang, Yusui. 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, Peng-Fei. 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, Nazif ; Azimli, Asil. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pa:s0301420723006682.

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

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

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Recent citations received in 2022
YearCiting document
2022.

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2022Pricing American options with stochastic volatility and small nonlinear price impact: A PDE approach. (2022). Yang, Ben-Zhang ; Hu, Zhihao ; Lin, Sha. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:163:y:2022:i:c:s0960077922007718.

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2022When are the effects of economic policy uncertainty on oil–stock correlations larger? Evidence from a regime-switching analysis. (2022). Wang, Deqing ; Lv, Tao ; Ding, Zhihua ; Zhang, Huiying ; Liu, Zhenhua. In: Economic Modelling. RePEc:eee:ecmode:v:114:y:2022:i:c:s0264999322001870.

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2022Scheduled macroeconomic news announcements and intraday market sentiment. (2022). Ryu, Doojin ; Cho, Hoon ; Seok, Sangik. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000882.

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2022Oil shocks and corporate social responsibility. (2022). al Mamun, Mohammed Abdullah ; Wong, Jin Boon ; Hasan, Mostafa Monzur. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000639.

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2022How connected is the agricultural commodity market to the news-based investor sentiment?. (2022). Uddin, Gazi Salah ; Pham, Linh ; Cepni, Oguzhan ; Akyildirim, Erdinc. In: Energy Economics. RePEc:eee:eneeco:v:113:y:2022:i:c:s0140988322003279.

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2022Multi-step double barrier options. (2022). Lee, Minha ; Jeong, Himchan. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005365.

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2022Climate impact on the USDA ending stocks forecast errors. (2022). Li, Ziran ; Zhang, Tengfei. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001799.

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2022Improving hedging performance by using high–low range. (2022). Lai, Yu-Sheng. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322002240.

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2022ESG reputational risks and board monitoring committees. (2022). Wong, Jin Boon ; Zhang, Qin. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322005049.

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2022The information content of ETF options. (2022). Yang, Dongxiao ; Ramchander, Sanjay ; Miao, Hong ; Lockwood, Larry . In: Global Finance Journal. RePEc:eee:glofin:v:53:y:2022:i:c:s1044028322000278.

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2022Circularity and life cycle environmental impact assessment of batteries for electric vehicles: Industrial challenges, best practices and research guidelines. (2022). Manuel, Joan ; Justel, Daniel ; Picatoste, Aitor. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:169:y:2022:i:c:s136403212200822x.

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2022.

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2022Bitcoin futures risk premia. (2022). Shi, Shimeng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:12:p:2190-2217.

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2022Information contents of intraday SSE 50 ETF options trades. (2022). Ryu, Doojin ; Cai, Wenye ; Luo, Xingguo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:4:p:580-604.

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Recent citations received in 2021
YearCiting document
2021Who are the arbitrageurs? Empirical evidence from Bitcoin traders in the Mt. Gox exchange platform. (2021). Belmonte, Alessandro ; Saggese, Pietro ; Bohme, Rainer ; Facchini, Angelo ; Dimitri, Nicola. In: Papers. RePEc:arx:papers:2109.10958.

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2021Pricing and Hedging of SOFR Derivatives under Differential Funding Costs and Collateralization. (2021). Bickersteth, Matthew ; Rutkowski, Marek. In: Papers. RePEc:arx:papers:2112.14033.

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2021Implied volatility smirk in the Australian dollar market. (2021). Ruan, Xinfeng ; Zhang, Jin E ; Gehricke, Sebastian A. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:3:p:4573-4599.

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2021What do we know about business strategy and environmental research? Insights from Business Strategy and the Environment. (2021). Lim, Weng Marc ; Sureka, Riya ; Kumar, Satish ; Goyal, Nisha ; Mangla, Sachin Kumar. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:30:y:2021:i:8:p:3454-3469.

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2021Dynamic price discovery in Chinese agricultural futures markets. (2021). Xiong, Tao ; Li, Miao. In: Journal of Asian Economics. RePEc:eee:asieco:v:76:y:2021:i:c:s1049007821000993.

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2021Stakeholder orientation and cost stickiness. (2021). Hasan, Mostafa Monzur ; Wong, Jin Boon ; Xin, Xianyang. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001362.

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2021Did the introduction of Bitcoin futures crash the Bitcoin market at the end of 2017?. (2021). Ishida, Ryo ; Hattori, Takahiro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302096.

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2021Does vega-neutral options trading contain information?. (2021). Yang, Heejin ; Ryu, Doojin ; Lee, Jaeram. In: Journal of Empirical Finance. RePEc:eee:empfin:v:62:y:2021:i:c:p:294-314.

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2021How does low-carbon energy transition alleviate energy poverty in China? A nonparametric panel causality analysis. (2021). Dong, Kangyin ; Zhao, Jun ; Ren, Xiaohang. In: Energy Economics. RePEc:eee:eneeco:v:103:y:2021:i:c:s0140988321004850.

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2021Impacts of oil shocks on the EU carbon emissions allowances under different market conditions. (2021). Wen, Fenghua ; Liu, Wenhua ; Zhou, Min ; Yin, Hua ; Zheng, Yan. In: Energy Economics. RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321005387.

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2021Oil shocks and corporate payouts. (2021). Hasan, Mostafa Monzur ; Wong, Jin Boon. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321002218.

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2021Multilayer financial networks and systemic importance: Evidence from China. (2021). Wang, Xiong ; Stanley, Eugene H ; Wen, Fenghua ; Cao, Jie. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002106.

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2021International review of financial analysis: A retrospective evaluation between 1992 and 2020. (2021). Sharma, Anuj ; Goyal, Kirti ; Kumar, Satish ; Baker, Kent H. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002672.

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2021Price volatilities of bitcoin futures. (2021). Guo, Zi-Yi. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321001033.

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2021How to conduct a bibliometric analysis: An overview and guidelines. (2021). Kumar, Satish ; Donthu, Naveen ; Lim, Weng Marc ; Pandey, Nitesh ; Mukherjee, Debmalya. In: Journal of Business Research. RePEc:eee:jbrese:v:133:y:2021:i:c:p:285-296.

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2021What drives oil prices? — A Markov switching VAR approach. (2021). Fu, Chengbo ; Liu, Tangyong ; Chen, Liqing ; Guan, Keqin ; Gong, XU. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003263.

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2021How do Islamic equity markets respond to good and bad volatility of cryptocurrencies? The case of Bitcoin. (2021). , Walid. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:70:y:2021:i:c:s0927538x21001748.

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2021.

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2021The Influence of Research Reports on Stock Returns: The Mediating Effect of Machine-Learning-Based Investor Sentiment. (2021). Wang, Yue ; Shen, Xiaohong. In: Discrete Dynamics in Nature and Society. RePEc:hin:jnddns:5049179.

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2021Thrown off track? Adjustments of Asian business to shock events. (2021). Sekiguchi, Tomoki ; Horn, Sierk ; Weiss, Matthias. In: Asian Business & Management. RePEc:pal:abaman:v:20:y:2021:i:4:d:10.1057_s41291-021-00158-y.

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2021Forecasting Stock Market Dynamics using Bidirectional Long Short-Term Memory. (2021). Ryu, Doojin ; Park, Daehyeon. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2021:i:2:p:22-34.

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2021Deep Learning Market Microstructure: Dual-Stage Attention-Based Recurrent Neural Networks. (2021). Park, Sukjin ; Chung, Chaeshick. In: Working Papers. RePEc:sgo:wpaper:2108.

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2021Research evolution in banking performance: a bibliometric analysis. (2021). Abdul, Dzuljastri Bin ; Matin, Mohammad Abdul ; Shamsul, S M. In: Future Business Journal. RePEc:spr:futbus:v:7:y:2021:i:1:d:10.1186_s43093-021-00111-7.

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2021Who are the arbitrageurs? Empirical evidence from Bitcoin traders in the Mt. Gox exchange platform. (2021). Bohme, Rainer ; Facchini, Angelo ; Dimitri, Nicola ; Belmonte, Alessandro ; Saggese, Pietro. In: Department of Economics University of Siena. RePEc:usi:wpaper:860.

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2021Informed options trading around holidays. (2021). Yu, Jinyoung ; Ryu, Doojin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:5:p:658-685.

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2021Intermediary asset pricing in currency carry trade returns. (2021). Nie, Jing ; Yin, Libo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1241-1267.

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2021Analyzing the frequency dynamics of volatility spillovers across precious and industrial metal markets. (2021). Lin, Boqiang ; Liu, Tangyong ; Gong, XU. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:9:p:1375-1396.

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2021Specification analysis of VXX option pricing models under Lévy processes. (2021). Ruan, Xinfeng ; Cao, Jiling ; Zhang, Wenjun ; Su, Shu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:9:p:1456-1477.

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2021Fractional cointegration in bitcoin spot and futures markets. (2021). Xu, KE ; Wu, Jinghong ; Chen, Jian ; Zheng, Xinwei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:9:p:1478-1494.

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