prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … a vector error-correction model of daily highs and lows. Contrary to intuition, models based on co-integration of daily …

physical trade, results in different pricing dynamics on physical and futures markets, and affects futures price volatility by … focusing on realized volatility relations between Black Sea spot and leading futures markets. Here, prices posted at the … intraday seasonally adjusted realized volatility on the CBoT futures market. Further, elevated volatility can be determined in …