Skip to content

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.

Reference

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: http://ssrn.com/abstract=2617525 orhttp://dx.doi.org/10.2139/ssrn.2617525
Advertisements

From → Empirical, Gold

Leave a Comment

Leave a Reply

Please log in using one of these methods to post your comment:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s

%d bloggers like this: