The effect of maturity, trading volume, and open interest on crude oil futures price range-based volatility
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- Souček, Michael, 2013. "Crude oil, equity and gold futures open interest co-movements," Energy Economics, Elsevier, vol. 40(C), pages 306-315.
- Elizabeth A. Maharaj & Imad Moosa & Jonathan Dark & Param Silvapulle, 2008. "Wavelet Estimation of Asymmetric Hedge Ratios: Does Econometric Sophistication Boost Hedging Effectiveness?," International Journal of Business and Economics, College of Business and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 7(3), pages 213-230, December.
- Elina Pradkhan, 2016. "Information Content of Trading Activity in Precious Metals Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(5), pages 421-456, May.
- repec:rjr:romjef:v::y:2017:i:2:p:45-61 is not listed on IDEAS
- Joseph, Anto & Sisodia, Garima & Tiwari, Aviral Kumar, 2014. "A frequency domain causality investigation between futures and spot prices of Indian commodity markets," Economic Modelling, Elsevier, vol. 40(C), pages 250-258.
- Saurabh Gupta & Prabina Rajib, 2012. "Samuelson Hypothesis & Indian Commodity Derivatives Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(4), pages 331-352, November.
- Zhang, Yue-Jun & Zhang, Lu, 2015. "Interpreting the crude oil price movements: Evidence from the Markov regime switching model," Applied Energy, Elsevier, vol. 143(C), pages 96-109.
- Walid Matar & Saud M. Al-Fattah & Tarek Atallah & Axel Pierru, 2013. "An introduction to oil market volatility analysis," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 37(3), pages 247-269, September.
- Alizadeh, Amir H. & Tamvakis, Michael, 2016. "Market conditions, trader types and price–volume relation in energy futures markets," Energy Economics, Elsevier, vol. 56(C), pages 134-149.
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KeywordsVolatility Futures Trading volume Open interest Maturity;
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