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The Return-Volatility relationship in gold (and other assets)

by on July 8, 2015

An intraday paper by Chiarella et al looks at the relationship between volatility and returns. They find a positive relationship – as one rises the other rises. This however seems to be a function of the level of volatility with an opposite relationship at low levels.

The authors look at a variety of possible explanations and suggest that convenience yield is the issue at hand.


Chiarella, Carl and Kang, Boda and Nikitopoulos Sklibosios, Christina and To, Thuy Duong, The Return-Volatility Relation in Commodity Futures Markets (June 11, 2015). UNSW Business School Research Paper No. 2015 BFIN 05. Available at SSRN: or

From → Empirical, Gold

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