Information content of the limit order book for crude oil futures price volatility
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Overview
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Research
keywords
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Business & Economics
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COMMODITY
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Crude oil futures
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EMPIRICAL-EVIDENCE
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EVOLUTION
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Economics
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Energy market information releases
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Futures price volatility
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HETEROSKEDASTICITY
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IMBALANCE
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INVENTORY ANNOUNCEMENTS
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LIQUIDITY PROVISION
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MARKET
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REALIZED VOLATILITY
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Social Sciences
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Time-weighted limit order book slope
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VOLUME
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