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Intraday trading activity and volatility : evidence from energy and metal futures

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Intraday Trading Activity and Volatility : Evidence from Energy and Metal Futures

Rajvanshi, Vivek - 2014

We use tick-by-tick data for one energy futures (crude oil) and four metal futures (gold, silver, copper, and zinc) traded at Multi-Commodity Exchange India Limited (MCX) for the period of four years from January 1, 2009 to December 31, 2012. We test and find support for the Mixture...

Persistent link: https://www.econbiz.de/10013045841