This paper extends the option pricing equations of Black and Scholes [1973. Journal of Political Economy 81, 637–654], Jarrow and Madan [1997. European Finance Review 1, 15–30] and Husmann and Stephan [2007. Journal of Futures Markets 27, 961–979]. In particular, we show that the length of...

This article explores whether common technical trading strategies used in equity markets can be employed profitably in the markets for WTI and Brent crude oil. The strategies tested are Bollinger Bands, based on a mean-reverting hedge portfolio of WTI and Brent. The trading systems are tested...

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...

There is a long history of research into the impact of trading activity and information on financial market volatility. Based on 10 years of unique data on news items relating to gold and crude oil broadcast over the Reuters network, this study has two objectives. It investigates the impact of...

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 differs from extant literature because it studies volatility co-movements with a multivariate orthogonalized HAR model, a flexible specification for the time series of realized volatility, which is able to identify short-, mid- and long-term spillover effects. We examine volatility...