The effect of maturity, trading volume, and open interest on crude oil futures price range-based volatility

The determinants of the volatility of crude oil futures prices are examined using an intra-day range-based measure of volatility. The paper employs two distinct approaches: one is to present a contract-by-contract analysis within the sample period, and the second is based on constructed series for t...

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Bibliographic details
Volume: 20
Main Author: Ripple, Ronald D
Moosa, Imad A
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: Greenwich Elsevier Inc 2009
Elsevier
Elsevier B.V
Elsevier Science Ltd
published in: Global finance journal Vol. 20; no. 3; pp. 209 - 219
Data of publication: 2009
ISSN: 1044-0283
1873-5665
EISSN: 1873-5665
Discipline: Business
Series: Global Finance Journal
Subjects:
G10
G13
G12
Online Access: available in Bonn?
Database: RePEc
RePEc IDEAS
CrossRef
Academic OneFile (A&I only)
ProQuest One Business (Alumni)
ProQuest One Business
Database information Databases - DBIS