We provide a comprehensive view on volatility dynamics in precious metals and crude oil markets. Using high-frequency futures data, we construct realized volatilities and estimate (Quantile) Heterogeneous Autoregressive models for the daily volatility of Gold, Silver and Crude Oil futures. We...

This paper conducts an investigation of volatility transmission between stock markets in Hong Kong, Europe and the United States covering the time period from 2000 up to 2011. Using intradaily data we compute realized volatility time series for the three markets and employ a Heterogeneous...