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Analysis of the Behaviour of Futures Trading in NYMEX (1986-2010) with Regard to Varations in the Level and Volatility of Crude Oil Prices

Atefeh Taklif

Volume 16, Issue 47 , July 2011, , Pages 31-52

Abstract
  This paper examines the relationship between the volatility of WTI prices and the open interest volumes (OIV) in NYMEX using a VAR model for the period 1986-2010.  The results from the estimated model imply the existence of a causal relationship from OIV to the price volatility of WTI.  Based ...  Read More