Borin, Alessandro; Nino, Virginia Di - Banca d'Italia - 2012
volatility of futures prices. The Granger-causality tests suggest that speculative investments usually follow � rather than … precede - variations in futures returns. Employing a GARCH model, we find that the activity of money managers tends to be … associated with lower volatility of futures returns, while that of swap dealers is sometimes followed by higher price variations. …