Trading volume, maturity and natural gas futures price volatility

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

Peter K. Clark · Econometrica · 1973 · 2.8K citations

Volatility Modeling, Engineering, Stochastic Phenomenon +19

The Extreme Value Method for Estimating the Variance of the Rate of Return

Michael Parkinson · The Journal of Business · 1980 · 1.9K citations

Engineering, Rare Event Estimation, Extreme Value Method +18

On the Estimation of Security Price Volatilities from Historical Data

Mark B. Garman, Michael J. Klass · The Journal of Business · 1980 · 1.5K citations

Empirical Finance, Standard Estimators, Volatility Modeling +16

Some determinants of the volatility of futures prices

Ronald W. Anderson · Journal of Futures Markets · 1985 · 239 citations

Volatility Modeling, Economics, Financial Economics +5

Futures Price Variability: A Test of Maturity and Volume Effects

Theoharry Grammatikos, Anthony Saunders · The Journal of Business · 1986 · 195 citations

Empirical Finance, Volatility Modeling, Engineering +16