Siegel (1995) has developed a technique with which the systematic risk of a security (beta) can be estimated without recourse to historical capital market data. Instead, beta is estimated implicitly from the current market prices of exchange options that enable the exchange of a security against...

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...

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...

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...