Floros, Christos; Salvador, Enrique - In: International Journal of Managerial Finance 12 (2016) 5, pp. 629-653
Purpose The purpose of this paper is to examine the effect of trading volume and open interest on volatility of futures …, commodities, stock indices, interest rates and bonds). The authors employ a two-stage estimation methodology: first, the authors … employ a E-GARCH model and consider the asymmetric response of volatility to shocks of different sign. Further, the authors …