We investigate the volatility structure of gold, trading as a futures contract on the Chicago Board of Trade (CBOT … properties we also utilize a rarely used measure of volatility–the Garman Klass estimator – to provide new insights in intraday … and interday volatility. This nonparametric measure incorporates the open, close, high and low price within a particular …

study, we use a newly introduced spillover index to examine dynamic spillovers between spot and futures market volatility … and UK. Specifically, the spot and futures volatility spillovers between the UK and US markets are of bidirectional nature …

Purpose The purpose of this paper is to examine the effect of trading volume and open interest on volatility of futures … employ a E-GARCH model and consider the asymmetric response of volatility to shocks of different sign. Further, the authors … consider a regression framework to examine the contemporaneous relationships between volatility, trading volume and open …

only for the pre‐2008 period of the financial crisis but also for the period of high volatility of stock market returns …

We propose novel nonparametric estimators for stochastic volatility and the volatility of volatility. In doing so, we … relax the assumption of a constant volatility of volatility and therefore, we allow the volatility of volatility to vary … Standard & Poor´s 500 equity index, the estimates revealed strong evidence that both volatility and the volatility of …