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Information Flow, Trading Activity and Commodity Futures Volatility

  • Published:2015-04-13 Issue:1 Volume:36 Page:88-104
  • ISSN:0270-7314
  • Container-title:Journal of Futures Markets
  • language:en
  • Short-container-title:

Author:

Clements Adam E.1,Todorova Neda2

Affiliation:

1. Adam E. Clements is a Professor in Finance in the School of Economics and Finance at the Queensland University of Technology; Queensland Australia

2. Neda Todorova is Senior Lecturer in Finance at the Griffith Business School; Griffith University; Queensland Australia

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference34 articles.

1. Answering the skeptics: Yes, standard volatility models do provide accurate forecasts;Andersen;International Economic Review,1998

2. Is gold a safe haven? International evidence;Baur;Journal of Banking & Finance,2010

3. Price volatility, trading volume, and market depth: Evidence from futures markets;Bessembinder;Journal of Financial and Quantitative Analysis,1993

4. Does futures speculation destabilize spot prices? New evidence for commodity markets;Bohl;Journal of Agricultural and Applied Economics,2013

5. Expected stock returns and variance risk premia;Bollerslev;The Review of Financial Studies,2009

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