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Crude Oil Futures Price Volatility: the Effect of Maturity, Trading Volume, and Open Interest on Range-Based Volatility

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  • Ronald Ripple
  • Imad A. Moosa

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  • Ronald Ripple & Imad A. Moosa, 2007. "Crude Oil Futures Price Volatility: the Effect of Maturity, Trading Volume, and Open Interest on Range-Based Volatility," Energy and Environmental Modeling 2007 24000054, EcoMod.
    • Handle: RePEc:ekd:000240:24000054
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    File URL: http://www.ecomod.net/sites/default/files/document-conference/ecomod2007-energy/478.pdf
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    References listed on IDEAS

    as
    1. Garman, Mark B & Klass, Michael J, 1980. "On the Estimation of Security Price Volatilities from Historical Data," The Journal of Business, University of Chicago Press, vol. 53(1), pages 67-78, January.
    2. Herbert, John H, 1995. "Trading volume, maturity and natural gas futures price volatility," Energy Economics, Elsevier, vol. 17(4), pages 293-299, October.
    3. Bessembinder, Hendrik & Seguin, Paul J., 1993. "Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(1), pages 21-39, March.
    4. Parkinson, Michael, 1980. "The Extreme Value Method for Estimating the Variance of the Rate of Return," The Journal of Business, University of Chicago Press, vol. 53(1), pages 61-65, January.
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    Cited by:

    1. Elizabeth A. Maharaj & Imad Moosa & Jonathan Dark & Param Silvapulle, 2008. "Wavelet Estimation of Asymmetric Hedge Ratios: Does Econometric Sophistication Boost Hedging Effectiveness?," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 7(3), pages 213-230, December.
    2. Saurabh Gupta & Prabina Rajib, 2012. "Samuelson Hypothesis & Indian Commodity Derivatives Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(4), pages 331-352, November.

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