Intraday data of 26 German stocks are used to investigate whether the information contained in trading volume and number of trades as well as in various specifications of overnight returns can improve one-step-ahead volatility forecasts. For this purpose, a HAR model of the realized range...

This study compares various approaches for incorporating the overnight information flow for forecasting realized volatility of the Australian index ASX 200 and seven very liquid Australian shares from March 2007 to January 2014. The analysis shows that considering overnight information...

This paper is the first to employ a multivariate extension of the LHAR–CJ model for realized volatility of Corsi and Renó (2012) considering continuous and jump volatility components and leverage effects. The model is applied to financial (S&P 500), commodity (WTI crude oil) and forex...

In contrast to energy and precious metals commodities, relatively little is known about the volatility dynamics of base (or industrial) metals commodities. To address this deficiency, this paper employs a multivariate heterogeneous autoregressive (HAR) model to consider the volatility spillovers...

The study is unique in its investigation of the co-movements between trading activity on the equity, crude oil, and gold futures market, proxied by open interest. It provides empirical evidence that stock and crude oil futures demand for hedging is positively related, but reacts negatively to...

The purpose of this article is to examine the impact of analysts' recommendation downgrades, upgrades, and reiterations on German stock returns and as to whether prof- itable investment strategies could potentially be designed around these recommendations. The paper provides a unique detailed...

This study discusses the economic significance of the relationship between oil price changes and emerging markets equity returns. It extends the literature by obtaining significant Granger causalities and impulse response functions for the daily returns over the last decade on the emerging...

This study investigates the relative performance of alternative extreme-value volatility estimators based on daily and intraday ranges of the German index DAX 30. As a benchmark, the two-scales realized volatility is used. Intraday data from 6 years and 4 months are divided into two periods of...

This article investigates whether options' open interest can be incorporated successfully into technical trading strategies. A set of 2040 trading rules is applied to the German index DAX 30 and to the 10 German stocks with the highest market capitalization. The results show that open interest...