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dc.contributor.authorChevallier, Julien
HAL ID: 7536
dc.contributor.authorSévi, Benoît
HAL ID: 3591
dc.date.accessioned2011-08-30T08:18:54Z
dc.date.available2011-08-30T08:18:54Z
dc.date.issued2012-11
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/6887
dc.language.isoenen
dc.subjectCrude Oil Futuresen
dc.subjectPrice Volatilityen
dc.subjectTrading Volumeen
dc.subjectJumpen
dc.subjectRealised Semivarianceen
dc.subjectMedian Realized Volatilityen
dc.subjectBipower Variationen
dc.subjectRealized Volatilityen
dc.subjectHigh-Frequency Dataen
dc.subjectNatural Gas Futuresen
dc.subject.ddc333en
dc.subject.classificationjelG1en
dc.subject.classificationjelQ4en
dc.subject.classificationjelC53en
dc.subject.classificationjelC32en
dc.subject.classificationjelC15en
dc.titleOn the volatility-volume relationship in energy futures markets using intraday dataen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherUniversité de la Méditerranée Aix-Marseille II;France
dc.description.abstractenThis 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 feature a contemporaneous and largely positive relationship. Furthermore, we test whether the volatility-volume relationship is symmetric for energy futures by considering positive and negative realized semivariance. We show that (i) an asymmetric volatility-volume relationship indeed exists, (ii) trading volume and trading frequency significantly affect negative and positive realized semivariance, and (iii) the information content of negative realized semivariance is higher than for positive realized semivariance.en
dc.identifier.citationpages27en
dc.relation.isversionofjnlnameEnergy Economics
dc.relation.isversionofjnlvol34
dc.relation.isversionofjnlissue6
dc.relation.isversionofjnldate2012-11
dc.relation.isversionofjnlpages1896-1909
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.eneco.2012.08.024
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevier
dc.subject.ddclabelEconomie de la terre et des ressources naturellesen


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