Journal of Futures Markets: Volume 42, Number 5, May 2022

• Published date: 01 May 2022
• Date: 01 May 2022
• DOI: http://doi.org/10.1002/fut.22231

Volume 42 Number 5 May 2022

FUTURES MARKETS

CONTENTSCONTENTS

T H E J O U R N A L O F

Editorial Editorial 789789

Sheep in wolves' clothing: Using false signals of demand to execute a market Sheep in wolves' clothing: Using false signals of demand to execute a market

power manipulation power manipulation 790790

CRAIG PIRRONGCRAIG PIRRONG

A trend factor in commodity futures markets: Any economic gains from using A trend factor in commodity futures markets: Any economic gains from using

information over investment horizons? information over investment horizons? 803803

YUFENG HANYUFENG HAN and and LINGFEI KONGLINGFEI KONG

Effects of the Covid‐19 pandemic on derivatives markets: Evidence from Effects of the Covid‐19 pandemic on derivatives markets: Evidence from

global futures and options exchanges global futures and options exchanges 823823

EKATERINA E. EMM, GERALD D. GAY, HAN MAEKATERINA E. EMM, GERALD D. GAY, HAN MA and and HONGLIN RENHONGLIN REN

Pricing vulnerable options under correlated skew Brownian motions Pricing vulnerable options under correlated skew Brownian motions 852852

CHE GUOCHE GUO and and XINGCHUN WANGXINGCHUN WANG

Volatility spillovers: A sparse multivariate GARCH approach with an Volatility spillovers: A sparse multivariate GARCH approach with an

application to commodity markets application to commodity markets 868868

GEERT DHAENE, PIET SERCUGEERT DHAENE, PIET SERCU and and JIANBIN WUJIANBIN WU

Pricing VXX options by modeling VIX directly Pricing VXX options by modeling VIX directly 888888

WEI LINWEI LIN and and JIN E. ZHANGJIN E. ZHANG

Investment horizon and option market activity Investment horizon and option market activity 923923

DA‐HEA KIMDA‐HEA KIM

A Black–Scholes user's guide to the Bachelier model A Black–Scholes user's guide to the Bachelier model 959959

JAEHYUK CHOI, MINSUK KWAK, CHYNG WEN TEEJAEHYUK CHOI, MINSUK KWAK, CHYNG WEN TEE and and YUMENG WANGYUMENG WANG

Volume 42 , Number 5 was mailed the week of XX XXXX, 2022

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