(1994) to discover whether the change to the trading system caused a shift in unconditional volatility at the time Xetra was … introduced. Because the trading mechanism can influence volatility in a number of ways we also estimate the partial adjustment …

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 …