Chevallier, Julien; Sévi, Benoît - Université Paris-Dauphine (Paris IX) - 2012
This paper investigates the relationship between trading volume and price volatility in the crude oil and natural gas … futures markets when using high-frequency data. By regressing various realized volatility measures (with/without jumps) on … test whether the volatility-volume relationship is symmetric for energy futures by considering positive and negative …