Journal of Futures Markets最新文献

Journal of Futures Markets: Volume 46, Number 11, November 2026 期货市场杂志：第46卷，第11期，2026年11月

IF 2.8 4区经济学

Journal of Futures Markets Pub Date : 2026-10-07 DOI: 10.1002/fut.70147

引用次数: 0

Volatility Formation in Dairy Futures: Fundamentals, Public Information, and Processing Ambiguity 乳品期货波动率的形成：基本面、公开信息和处理歧义

IF 2.8 4区经济学

Journal of Futures Markets Pub Date : 2026-10-07 Epub Date: 2026-09-06 DOI: 10.1002/fut.70137

Xiaodong Du

{"title":"Volatility Formation in Dairy Futures: Fundamentals, Public Information, and Processing Ambiguity","authors":"Xiaodong Du","doi":"10.1002/fut.70137","DOIUrl":"https://doi.org/10.1002/fut.70137","url":null,"abstract":"<p>Class III milk futures cash-settle to an administered price based on weekly component prices, creating a predictable within-month flow of settlement-relevant information. This paper studies drivers of cross-month variation in realized volatility in this formula-settled market. We separate volatility associated with upstream feed-cost and milk-supply conditions, downstream dairy-product markets, USDA public information releases, processing-related ambiguity, and market participation. Processing-related ambiguity is uncertainty about how public dairy-market signals translate into formula-settled payoffs when processing capacity, inventories, product allocation, and logistics are only partially characterized in public reports. We construct a narrative measure from USDA Livestock, Dairy, and Poultry Outlook reports and distinguish it from observable public information using release-date-aligned innovations from major USDA dairy reports. Triple-IV 3SLS estimates show that processing-related ambiguity remains an economically important predictor of realized volatility after conditioning on fundamentals and broader USDA information. Weekly release-timing specifications show stronger ambiguity effects when commercial short-side participation is elevated.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 11","pages":"1838-1866"},"PeriodicalIF":2.8,"publicationDate":"2026-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.70137","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"149100320","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Forecasting Crude Oil Futures Prices: A Stacking Model With Mixed-Frequency Predictors, Machine Learning, and Forecast Combination 原油期货价格预测：混合频率预测器、机器学习和预测组合的叠加模型

IF 2.8 4区经济学

Journal of Futures Markets Pub Date : 2026-10-07 Epub Date: 2026-09-08 DOI: 10.1002/fut.70139

Yilin Ma, Weizhong Wang, Yu Cheng

{"title":"Forecasting Crude Oil Futures Prices: A Stacking Model With Mixed-Frequency Predictors, Machine Learning, and Forecast Combination","authors":"Yilin Ma, Weizhong Wang, Yu Cheng","doi":"10.1002/fut.70139","DOIUrl":"https://doi.org/10.1002/fut.70139","url":null,"abstract":"<div>\u0000 \u0000 <p>Low- and high-frequency data are widely used in crude oil futures price forecasting, and machine learning techniques exhibit strong performance. To enhance predictive accuracy, this study presents a stacking model that integrates mixed-frequency predictors, machine learning models, and forecast combination methods. Specifically, 18 low-frequency and 20 high-frequency predictors are selected, and 15 distinct machine learning models are applied for prediction. The forecasts of the top 10 individual models are screened based on out-of-sample performance over the past decade, then synthesized using the discounted mean squared prediction error combination method. Against 26 competing benchmarks, empirical results show that the proposed model consistently outperforms all benchmarks, underscoring the advantages of mixed-frequency data, machine learning, and combination methods. It further explores the model's dynamic forecast selection to clarify operational logic. In addition, we confirm its robustness across the business cycle and provide preliminary, small-sample evidence from the COVID-19 pandemic.</p>\u0000 </div>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 11","pages":"1867-1888"},"PeriodicalIF":2.8,"publicationDate":"2026-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"149100014","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Shape of Yield Curves Under Instrument-Based Parallel Shifts 基于仪器的平行位移下收益率曲线的形状

IF 2.8 4区经济学

Journal of Futures Markets Pub Date : 2026-10-07 Epub Date: 2026-08-09 DOI: 10.1002/fut.70136

Jian Sun

{"title":"Shape of Yield Curves Under Instrument-Based Parallel Shifts","authors":"Jian Sun","doi":"10.1002/fut.70136","DOIUrl":"https://doi.org/10.1002/fut.70136","url":null,"abstract":"<p>This paper studies the shape of zero and par yield curves through the carry and convexity of zero-bond and par–swap butterflies under <i>instrument-based parallel shifts</i>: the component instruments are held fixed, and each instrument's own quote receives the same additive shock. Although this framework is a conditional scenario experiment rather than a model-independent restriction on admissible yield-curve shapes, it is simple and widely used in fixed-income risk management. For zero-coupon bonds, maturity is the natural horizontal coordinate; for par–swaps, the nonlinear bootstrap relation makes the fixed-leg annuity, or PV01, the relevant coordinate. Under the stated instrument-based evolution rule, an appropriately weighted zero-cost butterfly has a nonnegative instantaneous revaluation under either direction of an admissible common shift, while convexity of the initial curve in the relevant coordinate also generates positive short-horizon carry. These results provide a partial economic rationale for the commonly observed concavity of yield curves: convex segments can support positive-carry, level-neutral butterflies under the benchmark shift convention. We then examine daily US dollar par–swap rates from July 3, 2000 to October 28, 2016. The data are obtained from the Federal Reserve Bank of St. Louis FRED database. The empirical results show that convexity is more frequently detected in annuity coordinates than under maturity weighting and is concentrated primarily at the front end of the curve. Realized short-horizon movements are seldom instrument-parallel, and the gross advantage of convex butterflies is substantially reduced by nonlevel curve movements and transaction costs. The evidence, therefore, supports the use of annuity coordinates for constructing and evaluating swap butterflies, while also showing that the benchmark parallel-shift scenario should be interpreted as a risk-management device rather than as a description of typical realized curve dynamics.</p>","PeriodicalId":15863,"journal":{"name":"Journal of Futures Markets","volume":"46 11","pages":"1824-1837"},"PeriodicalIF":2.8,"publicationDate":"2026-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1002/fut.70136","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"149100298","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The Role of Variance Risk Premium in Derivative Pricing: Modeling, Estimation and Impact 方差风险溢价在衍生品定价中的作用：建模、估计及影响

IF 2.8 4区经济学

Journal of Futures Markets Pub Date : 2026-10-07 Epub Date: 2026-07-26 DOI: 10.1002/fut.70132

Marcos Escobar-Anel, Lars Stentoft, Xize Ye

引用次数: 0

Fading Attention and the Pricing of Default Risk in the German Market for Structured Products 德国结构性产品市场违约风险的淡忘与定价

IF 2.8 4区经济学

Journal of Futures Markets Pub Date : 2026-09-11 Epub Date: 2026-08-16 DOI: 10.1002/fut.70135

Rainer Baule, Falk Jensen

引用次数: 0

Optimal Futures Hedging Under Distinct Daytime and Overnight GARCH Processes: Leveraging Information FROM Opening, High, Low, and Closing Prices 不同日间和隔夜GARCH过程下的最优期货套期保值：利用开盘价、高价、低价和收盘价的信息