The determinants of the volatility of crude oil futures prices are examined using an intra-day range-based measure of volatility. A contract-by-contract analysis reveals trading volume and open interest to be significant determinants of volatility; dominating the Samuelson maturity effect. The results support earlier findings of a positive and significant role for trading volume, and they also show the importance of open interest in determining volatility, exerting a significant negative effect. A full-period time series analysis also demonstrates the significant role played by open interest in the determination of futures price volatility and further confirms the importance of trading volume.25 page(s
61 pagesThis paper studies the predictability of volatility risk premia in WTI crude oil futures mar...
This paper analyses the volatility structure of commodity derivatives markets. The model encompasses...
This paper empirically investigates the impact of trading activity including trading volume and open...
The determinants of the volatility of crude oil futures prices are examined using an intra-day range...
Some students of futures markets believe that the volatility of futures prices increases as the futu...
This article analyzes volatility in the spot price of crude oil. In recent years the price has also ...
This essay examines the volatility dynamics of the financial futures returns. Samuelson (1965) demon...
This paper examines the effects of time to maturity, volume and open interest on the price volatilit...
This paper examines the effects of time to maturity, volume and open interest on the price volatilit...
This paper examines the price and volatility behaviour of two similar commodities (Brent Crude Oil a...
The study empirically examines the relationship between time to maturity and price volatility in NSE...
This article focuses on the volatility of crude oil futures prices on the New York Mercantile Exchan...
This article focuses on the volatility of crude oil futures prices on the New York Mercantile Exchan...
[[abstract]]This paper applies a quantile regression model to examine the relationship between the c...
In this paper volatility forecasting in the WTI futures market is approached with a focus on identif...
61 pagesThis paper studies the predictability of volatility risk premia in WTI crude oil futures mar...
This paper analyses the volatility structure of commodity derivatives markets. The model encompasses...
This paper empirically investigates the impact of trading activity including trading volume and open...
The determinants of the volatility of crude oil futures prices are examined using an intra-day range...
Some students of futures markets believe that the volatility of futures prices increases as the futu...
This article analyzes volatility in the spot price of crude oil. In recent years the price has also ...
This essay examines the volatility dynamics of the financial futures returns. Samuelson (1965) demon...
This paper examines the effects of time to maturity, volume and open interest on the price volatilit...
This paper examines the effects of time to maturity, volume and open interest on the price volatilit...
This paper examines the price and volatility behaviour of two similar commodities (Brent Crude Oil a...
The study empirically examines the relationship between time to maturity and price volatility in NSE...
This article focuses on the volatility of crude oil futures prices on the New York Mercantile Exchan...
This article focuses on the volatility of crude oil futures prices on the New York Mercantile Exchan...
[[abstract]]This paper applies a quantile regression model to examine the relationship between the c...
In this paper volatility forecasting in the WTI futures market is approached with a focus on identif...
61 pagesThis paper studies the predictability of volatility risk premia in WTI crude oil futures mar...
This paper analyses the volatility structure of commodity derivatives markets. The model encompasses...
This paper empirically investigates the impact of trading activity including trading volume and open...