examines the stylized facts, correlation and interaction between volatility and returns at the 5-minute frequency of gold …, volatility, volume and bid-ask spread. Returns and volume both experience strong intraday periodicity linked to the opening and … bilateral Granger causality between returns and volatility of each precious metal, which holds for the vast majority subsamples …

particularly acute in regard to volatility spillovers. Using the Diebold and Yilmaz (2009) methodology we analyze these metals over … a 20 year period, showing the evolution of volatility spillovers and identifying the source of same …

, volatility, correlation and tail dependence of China’s and US stock markets are investigated and compared by adopting GARCH (1 …) For China, high CPU decreases current stock market return and increases volatility but decreases it in the future. It … volatility in short term, decreases volatility in 5 months and increases it again after 6 months. Both low and high CPU could …

. Overall, the evidence further suggests that market sentiment is mainly driven by cryptocurrency volatility …