Chiarella, Carl; Kang, Boda; Nikitopoulos, Christina … - Finance Discipline Group, Business School - 2013
volatility changes in the commodity futures markets. We use an extensive daily database of gold and crude oil futures and futures … crude oil futures market, especially over periods of high volatility principally driven by market-wide shocks. However, the … and volatility feedback effect do not adequately explain this reaction especially for the crude oil futures, we propose …