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Trading volume, maturity and natural gas futures price volatility · Study

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ArticleTrading volume, maturity and natural gas futures price volatility

John H. Herbert1995

Article1995

Trading volume, maturity and natural gas futures price volatility

John H. Herbert

61 citations·0/0 files stored·Energy Economics

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Market Dynamics and Volatility Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 2015Proof that Properly Anticipated Prices Fluctuate Randomly 1980The Extreme Value Method for Estimating the Variance of the Rate of Return 1980On the Estimation of Security Price Volatilities from Historical Data 1985Some determinants of the volatility of futures prices 1986Futures Price Variability: A Test of Maturity and Volume Effects 1991A GARCH examination of the relationship between volume and price variability in futures markets 1986Price variability and the maturity effect in futures markets

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2004The Relationship Between Energy Spot And Futures Prices: Evidence From The Australian Electricity Market

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Year1995

Typearticle

Published1995-10-01

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations61

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/0140-9883(95)00033-q

openalex_workW2006058599

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