We use the GARCH-MIDAS model to extract the long- and short-term volatility components of cryptocurrencies. As … potential drivers of Bitcoin volatility, we consider measures of volatility and risk in the US stock market as well as a measure … of global economic activity. We find that S&P 500 realized volatility has a negative and highly significant effect on …

Prior theory suggests a positive relation between volatility and market depth, while past empirical research finds … contrasting results. This paper examines the relation between the volatility and the limit order book depth in commodity and … negative relation between volatility and depth and suggest that the depth in the limit order book decreases as volatility …

This paper adopts a VAR-GARCH approach to model the dynamic linkages between both the mean and the variance of macro … Gold and Silver. Volatility spillovers are bigger in size and affect most commodity returns. Both firstand second moment … financial assets, are sensitive to macro news (especially their volatility), and also suggest that the global financial crisis …