We analyze multivariate time series of daily high-low ranges of national equity market indices to measure intra-daily volatility dynamics across four continental European markets. We use a dynamic linear model of expected daily range which is a variant of Chou's conditional autoregressive range...

This paper examines the price discovery and volatility spill-over relationship for Indian commodity markets. We cover twelve actively traded commodities including agriculture, metal and energy and four commodity indices. Price discovery is confirmed for eight commodities and three indices with a...