Journal of Futures Markets

Cover image for Vol. 36 Issue 10

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


  1. 1 - 29
  1. Research Articles

    1. Convenience Yields in Electricity Prices: Evidence from the Natural Gas Market

      Nikolaos Milonas and Nikolaos Paratsiokas

      Version of Record online: 25 AUG 2016 | DOI: 10.1002/fut.21807

    2. The Valuation of Power Exchange Options with Counterparty Risk and Jump Risk

      Xingchun Wang, Shiyu Song and Yongjin Wang

      Version of Record online: 21 AUG 2016 | DOI: 10.1002/fut.21803

    3. Tail Wags Dog: Intraday Price Discovery in VIX Markets

      Nicolas P.B. Bollen, Michael J. O'Neill and Robert E. Whaley

      Version of Record online: 19 AUG 2016 | DOI: 10.1002/fut.21805

    4. Variance Risk Premiums of Commodity ETFs

      Chyng Wen Tee and Christopher Ting

      Version of Record online: 8 AUG 2016 | DOI: 10.1002/fut.21802

    5. The Skewness Implied in the Heston Model and Its Application

      Jin E. Zhang, Fang Zhen, Xiaoxia Sun and Huimin Zhao

      Version of Record online: 6 AUG 2016 | DOI: 10.1002/fut.21801

    6. Volatility Smile and One-Month Foreign Currency Volatility Forecasts

      Alfred Huah-Syn Wong and Richard A. Heaney

      Version of Record online: 6 AUG 2016 | DOI: 10.1002/fut.21799

    7. 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

    8. 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

    9. 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

    10. Cross-Hedging Ambiguous Exchange Rate Risk

      Kit Pong Wong

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

    11. 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

    12. 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

    13. 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

    14. 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

    15. 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

    16. 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

    17. 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

    18. Estimation of Market Information Shares: A Comparison

      Donald Lien and Zijun Wang

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

    19. 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


  1. 1 - 29