Journal of Futures Markets

Cover image for Vol. 36 Issue 9

Early View (Online Version of Record published before inclusion in an issue)

Edited By: Robert I. Webb

Impact Factor: 0.698

ISI Journal Citation Reports © Ranking: 2015: 67/94 (Business Finance)

Online ISSN: 1096-9934


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  1. Research Articles

    1. Correlation and Lead–Lag Relationships in a Hawkes Microstructure Model

      José Da Fonseca and Riadh Zaatour

      Version of Record online: 26 JUL 2016 | DOI: 10.1002/fut.21800

    2. Net Buying Pressure and Option Informed Trading

      Chao-Chun Chen and Shih-Hua Wang

      Version of Record online: 15 JUN 2016 | DOI: 10.1002/fut.21797

    3. Do Scheduled Macroeconomic Announcements Influence Energy Price Jumps?

      Kam Fong Chan and Philip Gray

      Version of Record online: 3 JUN 2016 | DOI: 10.1002/fut.21796

    4. Cross-Hedging Ambiguous Exchange Rate Risk

      Kit Pong Wong

      Version of Record online: 2 JUN 2016 | DOI: 10.1002/fut.21793

    5. Option Pricing with Threshold Mean Reversion

      Zeyu Chi, Fangyuan Dong and Hoi Ying Wong

      Version of Record online: 30 MAY 2016 | DOI: 10.1002/fut.21795

    6. An International Comparison of Implied, Realized, and GARCH Volatility Forecasts

      Apostolos Kourtis, Raphael N. Markellos and Lazaros Symeonidis

      Version of Record online: 20 MAY 2016 | DOI: 10.1002/fut.21792

    7. Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion

      Sofiane Aboura and Didier Maillard

      Version of Record online: 19 MAY 2016 | DOI: 10.1002/fut.21787

    8. The Binomial CEV Model and the Greeks

      Aricson Cruz and José Carlos Dias

      Version of Record online: 6 MAY 2016 | DOI: 10.1002/fut.21791

    9. VIX Exchange Traded Products: Price Discovery, Hedging, and Trading Strategy

      Christoffer Bordonado, Peter Molnár and Sven R. Samdal

      Version of Record online: 6 MAY 2016 | DOI: 10.1002/fut.21786

    10. Price Discovery and Foreign Participation in Korea's Government Bond Futures and Cash Markets

      Cyn-Young Park, Rogelio Mercado Jr., Jaehun Choi and Hosung Lim

      Version of Record online: 2 MAY 2016 | DOI: 10.1002/fut.21785

    11. Forecasting Stock Return Volatility: A Comparison of GARCH, Implied Volatility, and Realized Volatility Models

      Dimos S. Kambouroudis, David G. McMillan and Katerina Tsakou

      Version of Record online: 29 APR 2016 | DOI: 10.1002/fut.21783

    12. Estimation of Market Information Shares: A Comparison

      Donald Lien and Zijun Wang

      Version of Record online: 2 MAR 2016 | DOI: 10.1002/fut.21781

    13. Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures

      Xi Fu, Matteo Sandri and Mark B. Shackleton

      Version of Record online: 4 FEB 2016 | DOI: 10.1002/fut.21772

    14. An Analysis of The Risk-Return Characteristics of Serially Correlated Managed Futures

      Gert Elaut, Péter Erdős and John Sjödin

      Version of Record online: 4 FEB 2016 | DOI: 10.1002/fut.21773

    15. Fat-Finger Trade and Market Quality: The First Evidence From China

      Ming Gao, Yu-Jane Liu and Weili Wu

      Version of Record online: 4 FEB 2016 | DOI: 10.1002/fut.21771

    16. Risk-Free Rates and Variance Futures Prices

      Leonidas S. Rompolis

      Version of Record online: 23 DEC 2015 | DOI: 10.1002/fut.21767

    17. Futures Price Response to Crop Reports in Grain Markets

      Fabio L. Mattos and Rodrigo L. F. Silveira

      Version of Record online: 20 NOV 2015 | DOI: 10.1002/fut.21764


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