This paper investigates the relationship between trading volume and price volatility in the crude oil and natural gas futures markets when using high-frequency data. By regressing various realized volatility measures (with/without jumps) on trading volume and trading frequency, our results...

Using recent activity signature function methodology developed in Todorov and Tauchen (2010), we provide empirical evidence that individual stocks from the New York Stock Exchange are adequately represented by a Brownian motion plus medium to large (rare) jumps thus invalidating the pure-jump...

This note makes two contributions by extending the analysis in Bali and Peng (2006) which investigates the risk-return tradeoff at the daily horizon using high-frequency data. Our first contribution is to show that the empirical relation between returns and risk is not validated for recent...

This paper investigates the relationship between trading volume and price volatility in the crude oil and natural gas futures markets when using high-frequency data. By regressing various realized volatility measures (with/without jumps) on trading volume and trading frequency, our results...

Using daily data from March 2001 to June 2005, we estimate a VAR-BEKK model and find evidence of return and volatility spillovers between the German, the Dutch and the British forward electricity markets. We apply Hafner and Herwartz [2006, Journal of International Money and Finance 25,...

This article documents the conditional and unconditional distributions of the realized volatility for the 2008 futures contract in the European climate exchange (ECX), which is valid under the EU emissions trading scheme (EU ETS). Realized volatility measures from naive, kernel-based and...

This paper investigates the relationship between trading volume and price volatility in the crude oil and natural gas futures markets when using high-frequency data. By regressing various realized volatility measures (with/without jumps) on trading volume and trading frequency, our results...

The estimation of the jump component in asset pricing has witnessed a considerably growing body of literature. Of particular interest is the decomposition of total volatility between its continuous and jump components. Recent contributions highlight the importance of the jump component in...

With the increased availability of high-frequency financial market data in recent years, the extraction of “realized” volatility (from intraday squared returns) has led to numerous theoretical developments and empirical applications for a wide range of equity and commodity markets. This...

A  l’aide de données quotidiennes  sur  la période mars  2001 à  juin  2005, nous estimons un modèle VAR‐BEKK  et montrons  l’existence  de  transmissions  au  niveau  des  rendements  et  des  volatilités  entre  les marchés  forward  de ...