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

Citation Profile [Updated: 2026-03-14 21:09:38]
5 Years H Index
49
Impact Factor (IF)
0.98
5 Years IF
0.7
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 55 309 18 18 101 1 265 5 0 1 0.02 0.05
1991 0.04 0.11 0.12 0.03 57 112 448 13 31 106 4 266 7 0 0 0.06
1992 0.03 0.12 0.29 0.04 53 165 368 45 79 112 3 270 10 0 1 0.02 0.06
1993 0.03 0.13 0.13 0.02 63 228 568 26 108 110 3 266 5 0 0 0.06
1994 0.06 0.14 0.14 0.06 48 276 364 38 146 116 7 279 18 0 1 0.02 0.07
1995 0.05 0.22 0.17 0.05 44 320 556 54 200 111 5 276 13 0 2 0.05 0.1
1996 0.13 0.25 0.18 0.1 50 370 1103 64 265 92 12 265 26 2 3.1 1 0.02 0.11
1997 0.11 0.24 0.32 0.14 45 415 355 127 399 94 10 258 37 0 3 0.07 0.11
1998 0.18 0.27 0.31 0.18 48 463 335 144 543 95 17 250 46 8 5.6 0 0.13
1999 0.11 0.29 0.32 0.16 47 510 690 164 707 93 10 235 37 8 4.9 0 0.14
2000 0.06 0.34 0.17 0.1 50 560 400 96 803 95 6 234 24 0 1 0.02 0.16
2001 0.09 0.38 0.22 0.13 52 612 748 132 935 97 9 240 31 0 1 0.02 0.17
2002 0.13 0.39 0.25 0.15 55 667 430 165 1100 102 13 242 36 0 2 0.04 0.2
2003 0.12 0.43 0.2 0.12 54 721 391 140 1241 107 13 252 30 3 2.1 2 0.04 0.21
2004 0.14 0.47 0.25 0.13 57 778 646 198 1439 109 15 258 34 2 1 2 0.04 0.21
2005 0.12 0.51 0.27 0.16 51 829 415 224 1665 111 13 268 43 14 6.3 3 0.06 0.23
2006 0.16 0.49 0.34 0.16 51 880 493 297 1962 108 17 269 44 0 2 0.04 0.22
2007 0.11 0.44 0.2 0.15 51 931 522 183 2145 102 11 268 40 5 2.7 1 0.02 0.2
2008 0.18 0.47 0.27 0.15 58 989 573 266 2411 102 18 264 40 1 0.4 2 0.03 0.22
2009 0.26 0.46 0.34 0.22 53 1042 556 354 2766 109 28 268 60 1 0.3 0 0.23
2010 0.18 0.46 0.3 0.21 56 1098 443 325 3095 111 20 264 56 3 0.9 4 0.07 0.2
2011 0.19 0.51 0.3 0.22 47 1145 578 341 3436 109 21 269 60 16 4.7 3 0.06 0.23
2012 0.21 0.5 0.27 0.2 50 1195 527 320 3763 103 22 265 53 6 1.9 8 0.16 0.21
2013 0.43 0.54 0.42 0.3 51 1246 341 522 4289 97 42 264 78 16 3.1 9 0.18 0.24
2014 0.49 0.53 0.42 0.39 58 1304 612 546 4838 101 49 257 99 15 2.7 20 0.34 0.22
2015 0.64 0.52 0.8 0.6 65 1369 613 1095 5934 109 70 262 157 20 1.8 36 0.55 0.22
2016 0.91 0.5 0.87 0.72 56 1425 681 1244 7179 123 112 271 194 50 4 18 0.32 0.2
2017 0.88 0.52 0.88 0.71 57 1482 471 1297 8478 121 107 280 199 20 1.5 8 0.14 0.21
2018 0.92 0.53 0.83 0.74 77 1559 594 1289 9767 113 104 287 212 206 16 21 0.27 0.22
2019 0.81 0.54 0.89 0.89 81 1640 485 1459 11226 134 109 313 279 228 15.6 20 0.25 0.21
2020 0.75 0.64 0.88 0.87 93 1733 562 1532 12758 158 119 336 292 287 18.7 26 0.28 0.3
2021 1.03 0.74 0.93 0.91 93 1826 431 1692 14451 174 180 364 330 346 20.4 37 0.4 0.27
2022 1.04 0.73 0.85 0.95 96 1922 275 1637 16088 186 194 401 382 281 17.2 20 0.21 0.22
2023 0.83 0.69 0.7 0.78 69 1991 203 1402 17490 189 156 440 344 219 15.6 20 0.29 0.2
2024 1.1 0.81 0.64 0.89 64 2055 63 1321 18811 165 181 432 385 202 15.3 17 0.27 0.23
2025 0.98 0.46 0.7 109 2164 21 996 19807 133 130 415 290 194 19.5 22 0.2
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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525
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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155
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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136
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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123
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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120
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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114
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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109
82018Structural 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
92001What 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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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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99
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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94
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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93
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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91
141994Price 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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88
151999Price 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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87
162018The 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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87
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
182008Informed 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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78
191995Bivariate 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
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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76
212019Price 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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75
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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73
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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73
242001Hedge 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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72
252015Do 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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71
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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66
271985The 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
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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64
292011Price 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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64
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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63
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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60
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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59
342001Investor 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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58
352017Oil 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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57
362013Quantile 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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56
371992Is 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
382020BitMEX 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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55
391999Risk 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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54
401999VaR 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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54
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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54
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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53
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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53
442002Measuring 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
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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51
462016Fundamentals, 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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51
472004Predicting 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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50
482010The 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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50
492007An examination of momentum strategies in commodity futures markets. (2007). Sharma, Subhash C. ; Shen, Qian ; Szakmary, Andrew C.. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:27:y:2007:i:3:p:227-256.

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49
501985Some 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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49
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.

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41
22023Climate 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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23
32023The 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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21
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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20
52023Global 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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19
62021Volatility 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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18
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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17
82022The 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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17
92020Return 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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17
102018The 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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15
112020The 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
122022Market 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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14
132016Fundamentals, 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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14
142023Contemporaneous 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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14
152020BitMEX 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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14
162023Analytically 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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14
172022Time‐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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13
182018Structural 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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12
192021Forecasting 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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12
202016Crude 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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12
212016Do 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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12
221999VaR 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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11
232019Derivatives 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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242017Oil 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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252023Price 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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262011Volatility 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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272023COVID‐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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11
282016The 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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292022Sentiment‐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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302022The 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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312020The effect of oil price shocks on asset markets: Evidence from oil inventory news. (2020). Alquist, Ron ; Ellwanger, Reinhard ; Jin, Jianjian. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:8:p:1212-1230.

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322021Price 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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11
332019Economic policy uncertainty, CDS spreads, and CDS liquidity provision. (2019). Zhong, Zhaodong ; Wang, Xinjie ; Xu, Weike. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:4:p:461-480.

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10
342014The 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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352020The untold story of commodity futures in China. (2020). Zhang, Tingxi ; Fan, John Hua. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:4:p:671-706.

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362021Dynamic 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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372015The 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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382020Impact of international energy prices on Chinas industries. (2020). Zhang, Qin ; Wong, Jin Boon. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:5:p:722-748.

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9
392015Does 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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402012Intraday 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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412020Estimating 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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421995Predicting 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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431999Price 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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8
442017The effects of investor attention on commodity futures markets. (2017). Yin, Libo ; Li, Ziying ; Han, Liyan. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:37:y:2017:i:10:p:1031-1049.

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452020A revisit to the hedge and safe haven properties of gold: New evidence from China. (2020). Zhang, Xinran ; Yang, Shenggang ; Liu, Qianqiu ; Ming, Lei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:9:p:1442-1456.

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8
462021Forty 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
472014Hawkes 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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8
481999Price 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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8
492022Forecasting 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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502021Fractional cointegration in bitcoin spot and futures markets. (2021). Xu, Ke ; Zheng, Xinwei ; Wu, Jinghong ; Chen, Jian. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:9:p:1478-1494.

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Citing documents used to compute impact factor: 130
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2025Exchange traded products: Taxonomy, risk and mitigations. (2025). Orlando, Giuseppe. In: International Review of Financial Analysis. RePEc:eee:finana:v:101:y:2025:i:c:s1057521925000560.

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2025Do investors site visits affect the price of bond issues?. (2025). Li, Haoyang ; Sun, Yanqi ; Cai, Wei ; Chen, Jingwei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:90:y:2025:i:c:s0927538x25000228.

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2025Newswire tone-overlay commodity portfolios. (2025). Fuertes, Ana-Maria ; Fernandez-Perez, Adrian ; Zhao, Nan ; Miffre, Jolle. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:178:y:2025:i:c:s0378426625001219.

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2025Temporal dynamics of geopolitical risk: An empirical study on energy commodity interest-adjusted spreads. (2025). Lucey, Brian ; Rao, Amar ; Kumar, Satish. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324007758.

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2025Enhancing Agricultural Futures Return Prediction: Insights from Rolling VMD, Economic Factors, and Mixed Ensembles. (2025). Ye, Yiling ; Zhuang, Xiaowen ; Yi, Cai ; Liu, Dinggao ; Tang, Zhenpeng. In: Agriculture. RePEc:gam:jagris:v:15:y:2025:i:11:p:1127-:d:1662849.

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2025Does public climate attention affect the net return spillover from energy to non-energy commodities?. (2025). Lin, Anlan ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325000155.

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2025Financial risk management innovation in energy market: Evidence from a machine learning hybrid model. (2025). Lu, Xinjie ; Ma, Feng ; Li, Zepei. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325001847.

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2025On the time-varying responses of Fintech stock returns to geopolitical, financial and market sentiment shocks. (2025). SAADAOUI, Zied ; Boufateh, Talel ; Jiao, Zhilun. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:101:y:2025:i:c:s1062976924001571.

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2025The pass-through of macro variable to volatility co-movement among U.S. currency and commodity futures markets system. (2025). Yousaf, Imran ; Wang, Jiqian ; Marco, Chi Keung ; Dai, Xingyu. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000078.

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2025Market participants trading behavior toward anomalies: Evidence from the Korean market. (2025). Kang, Jangkoo ; Kim, Donghoon ; Roh, Soohyun. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:90:y:2025:i:c:s0927538x24003743.

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2025Exploring 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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2025Multiscale dynamic interdependency between China’s crude oil futures and petrochemical-related commodity futures: An integrated perspective from the industry chain system. (2025). Feng, Yun ; Yang, Jie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002213.

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2025Comparison of the interdependence relationship between crude oil futures and spot in China and international crude oil markets − evidence from time-frequency and quantile perspectives. (2025). Shi, Fengyuan ; Deng, Yiwen ; Guo, Yaoqi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000300.

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2025Financial innovation and corporate climate policy uncertainty exposure: Evidence from Chinas crude oil futures. (2025). Zhang, Wei ; Wang, Ziqiao ; Chen, Longxuan. In: Energy Economics. RePEc:eee:eneeco:v:145:y:2025:i:c:s0140988325002506.

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2025Disentangling market drivers and macro uncertainty risks in crude oil futures pricing: A multi-scale quantile regression and causal forest approach. (2025). Zhu, Junhua ; Zhang, Aixin ; Wang, Feng ; Liu, Jia ; Yu, Xiaobing ; Mao, Yaqi. In: Energy. RePEc:eee:energy:v:332:y:2025:i:c:s0360544225029044.

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2025Market efficiency across intra-daily sampling frequencies for Brent crude oil futures. (2025). Ewald, Christian-Oliver ; Haugom, Erik ; Smith-Meyer, Erik. In: International Review of Financial Analysis. RePEc:eee:finana:v:105:y:2025:i:c:s1057521925005113.

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2025Central bank swap arrangements, exchange rate volatility, and China’s exports. (2025). Zhang, Junmei ; Liu, Zhuqing. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:79:y:2025:i:c:s1042444x25000192.

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2025Understanding Gas Price Shocks: Elasticities, Volatility and Macroeconomic Transmission. (2025). Toni, Francesco ; Colombo, Daniele. In: GREDEG Working Papers. RePEc:gre:wpaper:2025-20.

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2025Understanding Gas Price Shocks: Elasticities, Volatilities, and Macroeconomic Transmission. (2025). Toni, Francesco ; Colombo, Daniele. In: LEM Papers Series. RePEc:ssa:lemwps:2025/20.

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2025Asymmetric connectedness in the Chinese stock sectors: Overnight and daytime return spillovers. (2025). Yuan, Xianghui ; Zhao, Chencheng ; Long, Jun ; Li, Xiang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:89:y:2025:i:c:s0927538x24003378.

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2025Generalized Modeling of Oil Futures Volatility Through Uncertainty Indicator Selection: A GARCH–MIDAS–AES Framework. (2025). Zhu, Min ; Xu, Mingdong ; Zheng, Siyue. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:9:p:1182-1201.

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2025Analysing a frequency and quantile connectedness spillover dynamics nexus: Metals, grains, and energy markets under economic signals. (2025). Padhan, Hemachandra ; Kocoglu, Mustafa. In: Energy Economics. RePEc:eee:eneeco:v:147:y:2025:i:c:s0140988325004049.

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2025Pricing for perpetual American strangle options under stochastic volatility with fast mean reversion. (2025). Choi, Sun-Yong ; Yoon, Ji-Hun ; Kim, Donghyun ; Ha, Mijin. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:227:y:2025:i:c:p:41-57.

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2025The short- and long-run cyclical variation of the cross-asset nexus: Mixed-frequency evidence on financial and ‘financialised’ assets. (2025). Yfanti, Stavroula ; Wu, Jiaying ; Karanasos, Menelaos. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000066.

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2025Modelling commodity market volatility with climate policy uncertainty: a GARCH-MIDAS approach. (2025). Lasisi, Lukman ; Ngwu, Franklin N ; Taliat, Mohammed K ; Olaniran, Abeeb O ; Nnamdi, Kelechi C. In: SN Business & Economics. RePEc:spr:snbeco:v:5:y:2025:i:3:d:10.1007_s43546-025-00792-0.

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2025Dynamic connection between climate risks and energy markets. (2025). Jia, Huizhen. In: International Review of Financial Analysis. RePEc:eee:finana:v:102:y:2025:i:c:s1057521925001425.

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2025Tail Risk in Weather Derivatives. (2025). Cheng, Tuoyuan ; Poreddy, Saikiran Reddy. In: Commodities. RePEc:gam:jcommo:v:4:y:2025:i:2:p:11-:d:1681037.

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2025Examining perceived spillovers among climate risk, fossil fuel, renewable energy, and carbon markets: A higher-order moment and quantile analysis. (2025). Cui, Jinxin ; Maghyereh, Aktham. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000145.

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2025Stock–Commodity Correlations, Optimal Hedging, and Climate Risks. (2025). Demiralay, Sercan ; Gencer, Hatice Gaye ; Brauneis, Alexander. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:10:p:1693-1716.

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2025Hedging Climate Change News With Commodity Futures: An Index‐Tracking Approach. (2025). Fang, Tong ; Yin, Libo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:9:p:1361-1387.

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2025How financial markets respond to climate policy uncertainty: A dynamic resilience analysis. (2025). Yao, Xiaoyang ; Le, Wei ; Maimaitijiang, Sairidaer ; Li, Jianfeng. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:39:y:2025:i:c:s2405851325000340.

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2025Artificial Intelligence in Energy Economics Research: A Bibliometric Review. (2025). Zhang, Chenrui ; Jiao, Zhilun ; Li, Wenwen. In: Energies. RePEc:gam:jeners:v:18:y:2025:i:2:p:434-:d:1570956.

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2025A Novel Multi-Task Learning Framework for Interval-Valued Carbon Price Forecasting Using Online News and Search Engine Data. (2025). Tang, Zhenpeng ; Lin, Shuo ; Wang, Liuqing ; Liu, Dinggao. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:3:p:455-:d:1579981.

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2025Volatility in Carbon Futures Amid Uncertainties: Considering Geopolitical and Economic Policy Factors. (2025). Wang, Xiaoqing ; Jin, Wenxin ; Xu, Baochang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:4:p:308-325.

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2025The impact of climate attention on risk spillover effect in energy futures markets. (2025). Song, Min ; Hu, Lei ; Zhao, Yunning ; Zhang, Yun ; Wen, Fenghua. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324007539.

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2025Do global COVOL and geopolitical risks affect clean energy prices? Evidence from explainable artificial intelligence models. (2025). Cepni, Oguzhan ; Bakkar, Yassine ; ben Jabeur, Sami. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324008211.

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2025The effects of renewable electricity supply when renewables dominate: Evidence from Uruguay. (2025). Dagosti, Natalia. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325001227.

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2025Management climate risk concern and corporate bond credit spread. (2025). Zeng, Qing ; Huang, Yisu ; Wu, Hanlin ; Lu, Xinjie. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:153:y:2025:i:c:s0261560625000282.

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2025Carbon transition risk and stock market premium. (2025). Luo, Qin ; Ma, Feng. In: International Review of Financial Analysis. RePEc:eee:finana:v:105:y:2025:i:c:s1057521925005459.

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2025Machine learning applications in climate finance: An overview. (2025). Tian, Yingjie ; Guo, Kun ; Wen, Haonan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:79:y:2025:i:c:s0275531925003198.

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2025Informativeness of truncation in the options market. (2025). Ryu, Doojin ; Lee, Geul ; Yang, LI. In: Finance Research Letters. RePEc:eee:finlet:v:72:y:2025:i:c:s1544612324015198.

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2025The Variance Risk Premium Over Trading and Nontrading Periods. (2025). Dotsis, George ; Papagelis, Lucas. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:7:p:752-770.

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2025Quantile connectedness across BRICS and international grain futures markets: Insights from the Russia-Ukraine conflict. (2024). Zhou, Wei-Xing ; Shao, Ying-Hui ; Yang, Yan-Hong. In: Papers. RePEc:arx:papers:2409.19307.

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2025Do Price Jumps Matter in Volatility Forecasts of US Treasury Futures?. (2025). Zhang, Xueer ; Chiu, Chienliang ; Hung, Juicheng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:4:p:326-342.

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2025Time to get mature: Collateral, flexibility and the hedging horizon decision. (2025). Schiozer, Rafael ; Jankensgrd, Hkan ; Marinelli, Nicoletta. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:37:y:2025:i:c:s2405851324000679.

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2025How do community banks access liquidity during funding stress events?. (2025). Herb, Patrick ; Kim, Raymond. In: Finance Research Letters. RePEc:eee:finlet:v:80:y:2025:i:c:s1544612325006014.

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2025The predictive effect of heterogeneous investor behavior on commodity pricing. (2025). Li, Zhou ; Shao, Hang. In: Palgrave Communications. RePEc:pal:palcom:v:12:y:2025:i:1:d:10.1057_s41599-025-04795-y.

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2025Supply and Demand shocks: the short-term and long-term drivers of oil price uncertainty. (2025). Bermpei, Theodora ; Triantafyllou, Athanasios. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:39:y:2025:i:c:s240585132500039x.

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2025Option pricing in a sentiment-biased stochastic volatility model. (2025). Patacca, Marco ; Fig-Talamanca, Gianna ; Cretarola, Alessandra. In: Annals of Finance. RePEc:kap:annfin:v:21:y:2025:i:1:d:10.1007_s10436-024-00448-3.

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2025Pricing options on the maximum or the minimum of several assets with default risk. (2025). Zhou, KE ; Zhang, Jiayi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001979.

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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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2025Valuing Vulnerable Basket Options with Stochastic Liquidity Risk in Reduced-form Models. (2025). Wang, Xingchun ; Zhao, Meng Jie. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:3:d:10.1007_s10614-024-10794-z.

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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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2025Vulnerable power exchange options with liquidity risk. (2025). Mittal, Priya ; Selvamuthu, Dharmaraja. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:672:y:2025:i:c:s0378437125002985.

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2025The Dynamics of Option Volatility Smirk and Option Returns Predictability: Evidence From Chinese SSE50 ETF Options. (2025). Guo, Wenxin ; Liu, Dehong ; Chen, Carl R ; Lung, Peter. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:7:p:705-731.

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2025Spatial linkages of positive feedback trading among the stock index futures markets. (2025). Liu, Shuyi ; Tian, Shuxi ; Mu, Lijie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002407.

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2025Forecasting Spot and Futures Price Volatility of Agricultural Commodities: The Role of Climate-Related Migration Uncertainty. (2025). Salisu, Afees ; Ogbonna, Ahamuefula ; GUPTA, RANGAN ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:202516.

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2025Forecasting Oil Price Volatility: Does Oil Price Uncertainty Matter?. (2025). Triantafyllou, Athanasios ; Vlastakis, Nikolaos ; Kellard, Neil. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:7:p:817-830.

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2025Identifying Multiple Bubbles and Time-Varying Contagion Effect between Iron Ore and Chinas Stock Markets: A New Recursive Evolving Test. (2025). Yang, Shuo. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2025:i:1:p:81-100.

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2025Evaluating Market Downturn Connectedness Between S&P 500 Index Funds, Gold, and Oil Markets. (2025). Shah, Waheed Ullah ; Liu, Xiyu ; Younis, Ijaz ; Missaoui, Ibtissem. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:9:p:1278-1297.

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2025Mean reversion trading on the naphtha crack. (2025). Scaillet, Olivier ; Turquet, Briac ; Bajgrowicz, Pierre. In: Energy Economics. RePEc:eee:eneeco:v:148:y:2025:i:c:s0140988325004475.

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2025Option Return Predictability via Machine Learning: New Evidence From China. (2025). Xiao, Zhengyan ; Wang, Zhuo ; Huang, Yuxiang. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:9:p:1232-1252.

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2025Intraday overreaction and underreaction: profitability analysis and factor explanations. (2025). Siddiqui, Adnan Ahmed ; Misra, Arun Kumar. In: Journal of Asset Management. RePEc:pal:assmgt:v:26:y:2025:i:5:d:10.1057_s41260-025-00418-y.

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2025Short-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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2025Modeling Euro Area Benchmark Rates After the End of LIBOR. (2025). Nicolosi, Marco ; Angelini, Flavio ; Herzel, Stefano. In: CEIS Research Paper. RePEc:rtv:ceisrp:613.

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2025ESG leaders and crypto currency market: Asymmetric TVP-VAR connectedness and investment approaches. (2025). Bibi, Rashida ; Hussain, Syed Jawad ; Gulzar, Saqib. In: Research in International Business and Finance. RePEc:eee:riibaf:v:76:y:2025:i:c:s0275531925000893.

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2025Pricing American Parisian Options under General Time-Inhomogeneous Markov Models. (2025). Liu, Yuhao ; Zhang, Gongqiu ; Yang, Nian. In: Papers. RePEc:arx:papers:2503.11053.

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2025Drilling and DUCs in the Permian Basin. (2025). Elder, John ; Dossani, Asad. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:5:p:395-406.

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2025Predicting commodity returns: Time series vs. cross sectional prediction models. (2025). Angelidis, Timotheos ; Sakkas, Athanasios ; Tessaromatis, Nikolaos. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000194.

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2025Hedging grain price risk. Keep it simple! Econometric evidence from the grain markets, 1982–2024. (2025). Westgaard, Sjur ; Gjolberg, Ole ; Steen, Marie. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:39:y:2025:i:c:s2405851325000479.

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2025Short-maturity Asian options in local-stochastic volatility models. (2024). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:2409.08377.

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2025The Impact of Economic Financialization on the Income Gap Between Urban and Rural Residents: Evidence from China. (2025). Jiao, Fangyi ; Chen, Zhuang. In: Sustainability. RePEc:gam:jsusta:v:17:y:2025:i:8:p:3484-:d:1634063.

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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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2025A Hybrid EGARCH–Informer Model with Consistent Risk Calibration for Volatility and CVaR Forecasting. (2025). Lee, Ming Che. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:19:p:3108-:d:1760321.

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2025Price Integration of the Ukrainian and EU Corn Markets in the Context of the Russian—Ukrainian War. (2025). Cherevyk, Denys ; Hamulczuk, Mariusz. In: Agriculture. RePEc:gam:jagris:v:15:y:2025:i:16:p:1777-:d:1727763.

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2025The transmission of coal price shock to Chinese industry: Sub-sectors and regions heterogeneity. (2025). Lin, Boqiang ; Lan, Tianxu. In: Energy. RePEc:eee:energy:v:316:y:2025:i:c:s0360544225001136.

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2025The influence of coal price uncertainty on investment and consumption dynamics: Evidence from China. (2025). Lin, Boqiang ; Lan, Tianxu. In: Energy Policy. RePEc:eee:enepol:v:198:y:2025:i:c:s0301421525000242.

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2025Coal price jumps in China and their impact on the industrial sector. (2025). Lin, Boqiang ; Shi, Fengyuan. In: Energy. RePEc:eee:energy:v:326:y:2025:i:c:s0360544225019139.

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2025Fear of missing out and cryptocurrency miners: Evidence from Dogecoin and Litecoin. (2025). Ryu, Doojin ; Lee, Geul. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:46:y:2025:i:c:s2214635025000401.

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2025Shipping news sentiment as a predictor of iron ore freight rates: Hybrid evidence from lexicon-based analysis and threshold autoregression modelling. (2025). Shi, Wenming ; Chen, Kecai ; Xu, Luxuan ; Peng, Yongyuan ; Gong, Yuting. In: Transport Policy. RePEc:eee:trapol:v:169:y:2025:i:c:p:178-190.

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2025A Continuous-Review Inventory Model: Harnessing the Spot and Futures Price Cointegration for Effective Cost Control. (2025). Li, Cong-Cong ; Ni, Jian. In: Omega. RePEc:eee:jomega:v:137:y:2025:i:c:s0305048325000817.

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2025Statistical Arbitrage in Options Markets by Graph Learning and Synthetic Long Positions. (2025). Klabjan, Diego ; Hong, Yoonsik. In: Papers. RePEc:arx:papers:2508.14762.

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2025Social media and capital markets: an interdisciplinary bibliometric analysis. (2025). Long, Wen ; Guo, Man. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00731-2.

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2025Robust asset-liability management games in a stochastic market with stochastic cash flows under HARA utility. (2025). Wang, Ning ; Zhang, Yumo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:124:y:2025:i:c:s0167668725000721.

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2025Newly-constructed Chinese geopolitical risk index and trade stock returns. (2025). Gözgör, Giray ; Zeng, Qing ; Zhang, Jixiang ; Bouri, Elie. In: Research in International Business and Finance. RePEc:eee:riibaf:v:74:y:2025:i:c:s0275531924004987.

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2025Forecasting gasoline prices using oil prices: New evidence based on the rocket and feather hypothesis. (2025). Wang, Yudong ; Wen, Danyan ; Zhang, Yaojie ; He, Mengxi. In: Energy. RePEc:eee:energy:v:335:y:2025:i:c:s0360544225037570.

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2025Volatility of Volatility and VIX Forecasting: New Evidence Based on Jumps, the Short‐Term and Long‐Term Volatility. (2025). Qiao, Gaoxiu ; Cui, Wanmei ; Zhou, Yijie ; Liang, Chao. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:1:p:23-46.

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2025Can the price fluctuations of Shanghai crude oil futures affect Asian financial markets? Evidence from the time and frequency dynamics analysis of spillover connectedness. (2025). Yu, Qiuju ; Rahman, Rosmanjawati Abdul ; Wu, Yimin. In: Portuguese Economic Journal. RePEc:spr:portec:v:24:y:2025:i:2:d:10.1007_s10258-024-00262-9.

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2025Carbon Emission Allowance and Oil Implied Volatility. (2025). Lyu, Kefu ; Han, Qing ; Di, Junpeng ; Wang, Haoyu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:8:p:946-976.

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2025EPU spillovers and exchange rate volatility. (2025). He, Zhongzhi ; Gong, Yuting ; Xue, Wenjun. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007567.

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2025Dynamics of network structure in cryptocurrency markets during abrupt changes in Bitcoin price. (2025). Jaroonchokanan, Nawee ; Suwanna, Sujin ; Sinha, Amit. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:661:y:2025:i:c:s0378437125000561.

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2025Interactions between renewable energy tokens, oil shocks, and clean energy investments: Do COP26 policies matter?. (2025). Naifar, Nader. In: Energy Policy. RePEc:eee:enepol:v:198:y:2025:i:c:s0301421525000047.

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2025Hedging in the second-generation biofuels market: Insights from UCOME. (2025). Pimentel, Liliana Marques ; de Paula, Ana Catarina ; de Almeida, Leandro. In: Renewable Energy. RePEc:eee:renene:v:245:y:2025:i:c:s0960148125005166.

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2025Spillover effects between Chinas new energy and carbon markets and international crude oil market: A look at the impact of extreme events. (2025). Li, Rong ; Tang, Guangyuan ; Zhang, Yong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:98:y:2025:i:c:s1059056025001029.

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2025Quantile connectedness among climate policy uncertainty, news sentiment, oil and renewables in China. (2025). Cheung, Adrian ; Yan, Wan-Lin. In: Research in International Business and Finance. RePEc:eee:riibaf:v:76:y:2025:i:c:s0275531925000704.

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2025Cryptocurrencies as safe havens for geopolitical risk? A quantile analysis approach. (2025). Mo, Bin ; Zeng, Zichun ; Shi, Qinling ; Chen, Jiaru. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:79:y:2025:i:c:s1062940825000798.

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2025How do FinTech impact Chinas traditional and clean energy markets? A time-frequency quantile analysis. (2025). Yi, Jiaoting ; Yu, KE ; Mo, Bin. In: Energy. RePEc:eee:energy:v:335:y:2025:i:c:s0360544225034516.

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2025What triggers intraday price jumps and co-jumps in gold?. (2025). Sobti, Neharika. In: International Review of Financial Analysis. RePEc:eee:finana:v:105:y:2025:i:c:s1057521925004673.

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2025How does macroeconomic uncertainty influence energy futures?: Evidence from extraordinary events. (2025). Chen, Fengwen ; Yin, Libo ; Lu, Man. In: Research in International Business and Finance. RePEc:eee:riibaf:v:76:y:2025:i:c:s0275531925000716.

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2025Does government ownership differently impact expected left-tail and volatility risk of bank stock? Evidence from options market. (2025). Srivastava, Pranjal ; Saurav, Sumit ; Mishra, Abinash. In: Journal of Corporate Finance. RePEc:eee:corfin:v:94:y:2025:i:c:s0929119925001002.

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2025Is corn still king? Unravelling time-varying interactions among soft commodities. (2025). Auret, Christo ; Sayed, Ayesha. In: Eurasian Economic Review. RePEc:spr:eurase:v:15:y:2025:i:1:d:10.1007_s40822-024-00296-6.

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2025Tail risk connectedness in the Australian National Electricity Markets: The impact of rare events. (2025). Nepal, Rabindra ; Jamasb, Tooraj ; Pham, Son Duy ; Do, Hung Xuan. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324008326.

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2025Price Spillover Effects in U.S.-China Cotton and Cotton Yarn Futures Markets Under Emergency Events. (2025). Yang, Yueyuan ; Dong, Yani ; Qi, Chunjie ; Gui, Cheng. In: Agriculture. RePEc:gam:jagris:v:15:y:2025:i:16:p:1747-:d:1724954.

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2025Asian geopolitical risks: A key driver behind WTI-Brent spread market volatility. (2025). Han, Wei ; Wu, Shaojiang. In: Finance Research Letters. RePEc:eee:finlet:v:77:y:2025:i:c:s1544612325003538.

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2025Do Bitcoin ETFs Lead Price Discovery Following their Introduction in the Bitcoin Market?. (2025). Mohamad, Azhar. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:1:d:10.1007_s10614-025-10998-x.

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2025Co-movements and dynamic connectedness between ethanol and agricultural commodity prices in the post-Covid-19 period: evidence from Brazil. (2025). Cruz, Jos Csar ; Franco, Rodrigo Lanna ; Mattos, Fabio ; Gaio, Luiz Eduardo ; Dario, Daniel Henrique. In: 2025 AAEA & WAEA Joint Annual Meeting, July 27-29, 2025, Denver, CO. RePEc:ags:aaea25:360697.

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2025Volatility Spillover in Regional Ethanol and Grain Markets: Evidence from The Expansion of Corn-Based Ethanol Production in Brazil. (2025). Gaio, Luiz Eduardo ; Dario, Daniel Henrique. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:374828.

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2025The Hedging Strategies of Enterprises in the European Union Allowances Market—Implementation Actions for Sustainable Development. (2025). Stpie, Pawe ; Baejowska, Magorzata ; Czarny, Anna ; Kowalska, Iwona ; Michalczewski, Andrzej. In: Sustainability. RePEc:gam:jsusta:v:17:y:2025:i:5:p:2099-:d:1602255.

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

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2025China futures market and world container shipping economy: An exploratory analysis based on deep learning. (2025). Su, Zhenqing ; Li, Jiankun ; Pang, Qiwei. In: Research in International Business and Finance. RePEc:eee:riibaf:v:76:y:2025:i:c:s0275531925001266.

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2025Systemic Financial Risk of Stock Market Based on Multiscale Networks. (2025). Xiang, Youtao ; Borjigin, Sumuya. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:6:d:10.1007_s10614-024-10680-8.

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2025A 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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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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2025Two-factor Rough Bergomi Model: American Call Option Pricing and Calibration by Interior Point Optimization Algorithm. (2025). Salahi, Maziar ; Mehrdoust, Farshid ; Karimi, Arezou. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:1:d:10.1007_s10614-024-10725-y.

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2025Financial ambiguity and the flow of public information. (2025). Ayoub, Mahmoud ; Qadan, Mahmoud. In: Finance Research Letters. RePEc:eee:finlet:v:81:y:2025:i:c:s1544612325008037.

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2025Global Climate Risk Perception and Its Dynamic Impact on the Clean Energy Market: New Evidence from Contemporaneous and Lagged R 2 Decomposition Connectivity Approaches. (2025). Yang, Jianlan ; Lin, Sheng ; Yi, Dan. In: Sustainability. RePEc:gam:jsusta:v:17:y:2025:i:8:p:3596-:d:1635984.

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2025Asymmetric time-frequency risk spillovers between the Fourth Industrial Revolution assets and commodity futures: Is economic policy uncertainty a driving factor?. (2025). Su, Xianfang ; Zhao, Yachao. In: Global Finance Journal. RePEc:eee:glofin:v:64:y:2025:i:c:s1044028325000031.

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2025Moment connectedness and driving factors in the energy-food nexus: A time-frequency perspective. (2025). Nguyen, Duc Khuong ; Dai, Yun-Shi ; Goutte, St'Ephane ; Zhou, Wei-Xing. In: Papers. RePEc:arx:papers:2510.24174.

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2025Multidimensional risk contagions in commodity markets: A multi-layer information networks method. (2025). Mi, Yunlong ; Zhu, Huan ; Wang, Zongrun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:79:y:2025:i:c:s106294082500097x.

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2025Unlocking the diversification benefits of DeFi for ASEAN stock market portfolios: a quantile study. (2025). Ali, Shoaib ; Manel, Youssef. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00678-4.

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2025Bitcoin Price Direction Forecasting and Market Variables. (2025). Kim, Taegyum ; Jang, Bonggyu ; Choi, Woohyuk ; Jo, Hyeontae. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:10:p:1579-1600.

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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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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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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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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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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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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 ; Nazlioglu, Saban ; Ewing, Bradley T ; Koncak, Ahmet. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:39:y:2025:i:c:s2405851325000376.

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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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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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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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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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2024Coal price, economic growth and electricity consumption in China under the background of energy transition. (2024). Lin, Boqiang ; Shi, Fengyuan. In: Energy Policy. RePEc:eee:enepol:v:195:y:2024:i:c:s0301421524004208.

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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
YearCiting document
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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Recent citations received in 2022
YearCiting document
2022County-level USDA Crop Progress and Condition data, machine learning, and commodity market surprises. (2022). Robe, Michel ; Heckelei, Thomas ; Gebrekidan, Bisrat Haile. In: 2024 Annual Meeting, July 28-30, New Orleans, LA. RePEc:ags:aaea22:322281.

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2022Pricing American options with stochastic volatility and small nonlinear price impact: A PDE approach. (2022). Hu, Zhihao ; Lin, Sha ; Yan, Dong ; Yang, Ben-Zhang. 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). Ding, Zhihua ; Liu, Zhenhua ; Wang, XU ; Lv, Tao ; Zhang, Huiying. In: Economic Modelling. RePEc:eee:ecmode:v:114:y:2022:i:c:s0264999322001870.

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2022Multi-step barrier products and static hedging. (2022). Ho, Yang ; Lee, Hangsuck. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000316.

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2022Scheduled macroeconomic news announcements and intraday market sentiment. (2022). Seok, Sangik ; Cho, Hoon ; Ryu, Doojin. 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). Hasan, Mostafa Monzur ; al Mamun, Mohammed Abdullah ; Wong, Jin Boon. 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 ; Pham, Linh ; Cepni, Oguzhan ; Akyildirim, Erdinc. In: Energy Economics. RePEc:eee:eneeco:v:113:y:2022:i:c:s0140988322003279.

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2022A regime-switching real-time copula GARCH model for optimal futures hedging. (2022). Lee, Chien-Chiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922003453.

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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, Tianyang. 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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2022Regime-switching angular correlation diversification. (2022). Lee, Hsiang-Tai. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004330.

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2022ESG reputational risks and board monitoring committees. (2022). Zhang, Qin ; Wong, Jin Boon. 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). Ramchander, Sanjay ; Lockwood, Larry ; Miao, Hong ; Yang, Dongxiao. In: Global Finance Journal. RePEc:eee:glofin:v:53:y:2022:i:c:s1044028322000278.

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2022How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method. (2022). Lu, Tuantuan ; Chen, Shenglan ; Zhu, Pengfei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:607:y:2022:i:c:s0378437122007750.

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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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2022Trading Behavior in Agricultural Commodity Futures around the 52-Week High. (2022). Smales, Lee. In: Commodities. RePEc:gam:jcommo:v:1:y:2022:i:1:p:2-17:d:844212.

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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). Luo, Xingguo ; Cai, Wenye ; Ryu, Doojin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:4:p:580-604.

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