@article{Zuppiroli:207848,
      recid = {207848},
      author = {Zuppiroli, Marco and Donati, Michele and Riani, Marco and  Verga, Giovanni},
      title = {The Impact of Trading Activity in Agricultural Futures  Markets},
      address = {2015-06},
      number = {1054-2016-85982},
      pages = {21},
      year = {2015},
      abstract = {The paper examines a causal link between trading activity  and market factors as returns and volatility as well.  The
ratio of volume to open interest in futures contracts  performs better than other parameters extensively adopted  in
literature. The reason probably depends on the daily  frequency of information which gives statistical evidence  to
phenomena which conclude their effect in weekly  intervals. The estimations for the contemporaneous model  give
statistical evidence of a mutual relationship between  trading activity and realized volatility. The behaviour of  all the
twelve futures markets examined is quite similar  and uniform respect to the scale of the coefficients and  their temporal
profile.},
      url = {http://ageconsearch.umn.edu/record/207848},
      doi = {https://doi.org/10.22004/ag.econ.207848},
}