Journal of Futures Markets
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Looking for contagion in currency futures markets
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Journal of Futures Markets: Volume 38, Number 1, January 2018
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Foreign currency futures and monetary policy announcements: An intervention analysis
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Journal of Futures Markets: Volume 44, Number 11, November 2024
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Gold and the “weekend effect”
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The Effect of the Hedge Horizon on Optimal Hedge Size and Effectiveness When Prices are Cointegrated
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Futures market efficiency: Evidence from cointegration tests
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Futures bibliography
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Masthead
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The lead of oil price rises on US equity market beliefs and preferences
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Investment horizon and option market activity
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How potent are news reversals?: Evidence from the futures markets
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Legal Notes
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Forecasting Crude Oil Volatility Using the Deep Learning‐Based Hybrid Models With Common Factors
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Novel Analytic Representations for Caps, Floors, Collars, and Exchange Options on Continuous Flows, Arbitrage‐Free Relations, and Optimal Investments
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Credit Spread Changes and Monetary Policy Surprises: The Evidence from the Fed Funds Futures Market
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High–low volatility spillover network between economic policy uncertainty and commodity futures markets
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Dominant‐satellite relationships between live cattle cash and futures markets
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Pricing American Put Options Using the Mean Value Theorem
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Monetary Policy and Stock Prices: Does the “Fed Put” Work When It Is Most Needed?
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Noninformative and informative tests of efficiency in three energy futures markets
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EPU spillovers and sovereign CDS spreads: A cross‐country study
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Basis risk and optimal decision making for California feedlots
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The role of financial investors in determining the commodity futures risk premium
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Journal of futures markets. Information for contributors
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The Effects of Margin Changes on the Composition of Traders and Market Liquidity: Evidence from the Taiwan Futures Exchange
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A nonstationary trinomial model for the valuation of options on treasury bond futures contracts
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Should macroeconomic information be released during trading breaks in futures markets?
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Has the introduction of S&P 500 ETF options led to improvements in price discovery of SPDRs?
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Bitcoin futures risk premia
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The time‐varying volatility spillover effects between China's coal and metal market
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Exploring the dynamics of the equity–commodity nexus: A study of base metal futures
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Currency Carry Trades: The Role of Macroeconomic News and Futures Market Speculation
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Volatility trade design
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Profitable hedging opportunities and risk premiums for producers in live cattle and live hog futures markets
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A Markov regime‐switching ARMA approach for hedging stock indices
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Informed options trading on the implied volatility surface: A cross‐sectional approach
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Cash settlement issues for live cattle futures contracts
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A new information share measure
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The impact of the lengths of estimation periods and hedging horizons on the effectiveness of a Hedge: Evidence from foreign currency futures
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Commodity momentum decomposition
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The Quanto Adjustment and the Smile
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Price discovery and cointegration for live hogs
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Who Sets the Price of Gold? London or New York
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The dynamics of crude oil future prices on China's energy markets: Quantile‐on‐quantile and casualty‐in‐quantiles approaches
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Empirical evidence on the dependence of credit default swaps and equity prices
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Price clustering in E‐mini and floor‐traded index futures
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Random walk profits in currency futures trading
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Putting on the crush: Day trading the soybean complex spread
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Can commodity futures risk factors predict economic growth?
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Volatility index and the return–volatility relation: Intraday evidence from Chinese options market
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Journal of Futures Markets: Volume 44, Number 9, September 2024
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Factors explaining movements in the implied volatility surface
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A New Index of Option Implied Absolute Deviation
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Masthead
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Price Clustering in Individual Equity Options: Moneyness, Maturity, and Price Level
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Commercial Real‐Estate Inventory and Theory of Storage
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The Zero Lower Bound and Economic Determinants of the Volatility Surface in the Interest Cap Markets
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Long‐term dynamics of the VIX index and its tradable counterpart VXX
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Ex ante basis risk in the live hog futures contract: Has hedgers' risk increased?
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The rationality model revisited
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Are foreign currency options overvalued? The early experience of the Philadelphia stock exchange
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Futures Price Response to Crop Reports in Grain Markets
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Forecasting futures trading volume using neural networks
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Masthead
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Persistence in some energy futures markets
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S&P 500 Index‐Futures Price Jumps and Macroeconomic News
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A Term Structure Model for VIX Futures
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The effectiveness of arbitrage and speculation in the crude oil futures market
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Futures markets: Some theoretical perspectives
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Comparing alternative assumptions on the term structure of futures prices: Reply
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The effect of spot and futures trading on stock index market volatility: A nonparametric approach
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The Price Discovery Puzzle in Offshore Yuan Trading: Different Contributions for Different Contracts
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Estimation and hedging effectiveness of time‐varying hedge ratio: Flexible bivariate garch approaches
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Mean reversion in stock index futures markets: A nonlinear analysis
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The real effect of foreign exchange hedging on corporate innovation
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Foreword
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Trading tactics
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A revisit to the hedge and safe haven properties of gold: New evidence from China
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Samuelson hypothesis, arbitrage activity, and futures term premiums
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Does Option‐Implied Cross‐Sectional Return Dispersion Forecast Realized Cross‐Sectional Return Dispersion? Evidence From the G10 Currencies
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Note on trader concentration effects in feeder cattle futures and comparison with live cattle
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Stock market reactions to different types of oil shocks: Evidence from China
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How price discovery by futures impacts the cash market
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The Binomial Black–Scholes model and the Greeks
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The risk of betting on risk: Conditional variance and correlation of bank credit default swaps
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Excess returns to buying low options‐volume stocks and selling high options‐volume stocks: Information or characteristics?
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Exogenous Shocks and Information Transmission in Global Copper Futures Markets
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The use of crude oil futures by the governments of oil‐producing states
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Using Multivariate Densities to Assign Lattice Probabilities When There Are Jumps
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Hedging effectiveness and minimum risk hedge ratios in the presence of autocorrelation: Foreign currency futures
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The relationship between arbitrage in futures and spot markets and Bitcoin price movements: Evidence from the Bitcoin markets
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A first look at the empirical relation between spot and futures electricity prices in the United States
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Information Content of Trading Activity in Precious Metals Futures Markets
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Masthead
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A good hedge or safe haven? The hedging ability of China's commodity futures market under extreme market conditions
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The new market for volatility trading
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A model‐free approximation for barrier options in a general stochastic volatility framework
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Anatomy of option features in convertible bonds
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Unspanned macro risks in VIX futures
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A statistical model for the relationship between futures contract hedging effectiveness and investment horizon length
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Testing the martingale hypothesis for futures prices: Implications for hedgers
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Editor's note
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Journal of Futures Markets: Volume 37, Number 1, January 2017
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Rational expectations and market efficiency in the U.S. live cattle futures market: The role of proprietary information
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Livestock Revenue Insurance
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Efficient use of information, convergence adjustments, and regression estimates of hedge ratios
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Turn‐of‐the‐month and intramonth effects: Explanation from the important macroeconomic news announcements
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Masthead
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The information flow and market efficiency between the U.S. and Chinese aluminum and copper futures markets
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Marking‐to‐market, stochastic interest rates and discounts on stock index futures
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Trader types and fleeting orders: Evidence from Taiwan Futures Exchange
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After‐hours trading in equity futures markets
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Alternative commodity trading vehicles: A performance analysis
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Erratum
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Spreads: Tails, turtles, and all that
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Editor's Note
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The effect of the introduction of Cubes on the Nasdaq‐100 index spot‐futures pricing relationship
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A risk premium under uncertain inflation: The inflation futures evidence
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Effects of omitting information variables on optimal hedge ratio estimation: A note
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The relative efficiencies of price execution between the Singapore Exchange and the Taiwan Futures Exchange
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Approximate basket option valuation for a simplified jump process
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Early exercise, implied volatility spread and future stock return: Jumps bind them all
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Is options trading informed? Evidence from credit rating change announcements
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The weather premium in the U.S. corn market
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Editor's note
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Benchmarks in the spotlight: The impact on exchange traded markets
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Tests of random walk of hedge ratios and measures of hedging effectiveness for stock indexes and foreign currencies
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A Markov regime‐switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio
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Price discovery in commodity derivatives: Speculation or hedging?
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Options, futures, and business risk
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Volatility forecasts embedded in the prices of crude‐oil options
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Forthcoming Articles
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Hedging mortgage‐backed securities with treasury bond futures
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The Binomial CEV Model and the Greeks
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Does Index Futures Trading Reduce Volatility in the Chinese Stock Market? A Panel Data Evaluation Approach
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Journal of Futures Markets: Volume 39, Number 3, March 2019
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Futures bibliography
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The profitability of volatility spreads around information releases
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Long memory in commodity futures volatility: A wavelet perspective
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Optimal No‐Arbitrage Bounds on S&P 500 Index Options and the Volatility Smile
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The information content of implied volatility: Evidence from Australia
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The asymmetry in day and night option returns: Evidence from an emerging market
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Analyst forecasts and price discovery in futures markets: The case of natural gas storage
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Examining the Return–Volatility Relation for Foreign Exchange: Evidence from the Euro VIX
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Short‐selling and credit default swap spreads—Where do informed traders trade?
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Editor's note
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Volatility, storage and convenience: Evidence from natural gas markets
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A note on a risk‐return measure of hedging effectiveness
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Stable distributions, futures prices, and the measurement of trading performance: A reply
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Fractal structure in currency futures price dynamics
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Are there gains from using information over the surface of implied volatilities?
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The pricing and performance of stock index futures spreads
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Power‐type derivatives for rough volatility with jumps
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Structurally sound dynamic index futures hedging
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Oil jump risk
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Journal of Futures Markets: Volume 40, Number 10, October 2020
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Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility, and Realized Volatility Models
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Losers and prospectors in the short‐term options market
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Price discovery in China's crude oil futures markets: An emerging Asian benchmark?
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Benchmarking commodity investments
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Return distributions and volatility forecasting in metal futures markets: Evidence from gold, silver, and copper
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Equity index futures trading and stock price crash risk: Evidence from Chinese markets
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Trading the VIX Futures Roll and Volatility Premiums with VIX Options
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Journal of Futures Markets: Volume 43, Number 7, July 2023
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Principal components analysis for correlated curves and seasonal commodities: The case of the petroleum market
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The Term Structure of VIX
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Trading costs and the relative rates of price discovery in stock, futures, and option markets
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Can a rational expectation storage model explain the USDA ending grain stocks forecast errors?
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A note on the factors affecting technical trading system returns
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Volume‐volatility relationships for crude oil futures markets
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Hoarding the Herd: The Convenience of Productive Stocks
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Modeling discontinuous periodic conditional volatility: Evidence from the commodity futures market
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Who pays the liquidity cost? Central bank announcements and adverse selection
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Differences in the Prices of Vulnerable Options with Different Counterparties
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Journal of Futures Markets: Volume 43, Number 4, April 2023
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The valuation of multiple stock warrants
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The impact of data frequency on market efficiency tests of commodity futures prices
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Journal of Futures Markets: Volume 39, Number 11, November 2019
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Price risk in the NYMEX energy complex: An extreme value approach
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Masthead
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Information content of the fed funds rates
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Testing Alternative Measure Changes in Nonparametric Pricing and Hedging of European Options
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Decreased price clustering in FTSE100 futures contracts following a transfer from floor to electronic trading
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The impact of net buying pressure on VIX option prices
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Approximating American option prices in the GARCH framework
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Corporate taxes and hedging with futures
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Equity swaps in a LIBOR market model
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Realized bond—stock correlation: Macroeconomic announcement effects
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Masthead
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Determinants of trading volume in futures markets
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Vulnerable options, risky corporate bond, and credit spread
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Futures bibliography
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Journal of Futures Markets: Volume 37, Number 10, October 2017
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Hedging australian wheat exports using futures markets
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Hedging costs and joint determinants of premiums and spreads in structured financial products
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Do Option Strategy Traders Have a Disadvantage? Evidence from the Australian Options Market
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Fundamentals, Derivatives Market Information and Oil Price Volatility
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Cross‐market efficiency in the Indian derivatives market: A test of put–call parity
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Energy futures by J. E. Treat et al., pennwell books, tulsa ok, 1984, hardcover, 158pp.
