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Heterogeneous traders, liquidity, and volatility in crude oil futures market · Study

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ArticleHeterogeneous traders, liquidity, and volatility in crude oil futures market

Erik Haugom2017

Article2017

Heterogeneous traders, liquidity, and volatility in crude oil futures market

Erik Haugom · Rina Ray

27 citations·0/0 files stored·Journal of commodity markets

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

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References

1985Continuous Auctions and Insider Trading 2003Liquidity Risk and Expected Stock Returns 1986Asset pricing and the bid-ask spread 2008Market Liquidity and Funding Liquidity 2003Modeling and Forecasting Realized Volatility 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 2005Asset pricing with liquidity risk 2008A Simple Approximate Long-Memory Model of Realized Volatility

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2021Salmon futures and the Fish Pool market in the context of the CAPM and a three-factor model 2020The market quality of commodity futures markets

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Year2017

Typearticle

Published2017-01-22

VenueJournal of commodity markets

ISSN-L2405-8505

Languageen

Citations27

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jcomm.2017.01.001

openalex_workW2580300094

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