Chevallier, Julien; Sévi, Benoît - In: Energy Economics 34 (2012) 6, pp. 1896-1909
futures markets when using high-frequency data. By regressing various realized volatility measures (with/without jumps) on … realized semivariances. We show that (i) an asymm etric volatility–volume relationship indeed exists, (ii) trading volume and … trading frequency significantly affect negative and positive realized semivariance, and (iii) the information content of …