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Volatility information in the trading activity of stocks, options, and volatility options

Wang, Yaw-huei - In: The journal of futures markets 33 (2013) 8, pp. 752-773

Persistent link: https://www.econbiz.de/10009779086

Option market trading activity and the estimation of the pricing kernel : a Bayesian approach

Barone-Adesi, Giovanni; Fusari, Nicola; Mira, Antonietta; … - In: Journal of econometrics 216 (2020) 2, pp. 430-449

Persistent link: https://www.econbiz.de/10012439749

The intraday determination of liquidity in the NYSE LIFFE equity option markets

Verousis, Thanos; Ap Gwilym, Owain; Chen, XiaoHua - In: The European journal of finance 22 (2016) 10/12, pp. 1164-1188

Persistent link: https://www.econbiz.de/10011715335

The informative role of trading volume in an expanding spot and futures market

Bhaumik, Sumon Kumar; Karanasos, Menelaos; Kartsaklas, A. - In: Journal of multinational financial management 35 (2016), pp. 24-40

Persistent link: https://www.econbiz.de/10011719954

Market conditions, trader types and price-volume relation in energy futures markets

Alizadeh-Masoodian, Amir H.; Tamvakis, Michael - In: Energy economics 56 (2016), pp. 134-149

Persistent link: https://www.econbiz.de/10011663879

Risk premium, volatility and trading volume in overnight electricity forward markets

Peña Sánchez de Rivera, Juan Ignacio; Rodríguez, Rosa - 2018

Persistent link: https://www.econbiz.de/10011964127

Effects of volume of trade and time to maturity on volatility : the oilseed derivatives market in India

Joarder, Suranjana; Mukherjee, Diganta - In: Praj̄nȧn : journal of social and management sciences 46 (2018) 4, pp. 335-351

Persistent link: https://www.econbiz.de/10011924306

Volatility-volume causality across single stock spot-futures markets in India

Jain, Anshul; Biswal, Pratap Chandra; Ghosh, Sajal - In: Applied economics 48 (2016) 34/36, pp. 3228-3243

Persistent link: https://www.econbiz.de/10011617173

The delta- and vega-related information content of near-the-money option market trading activity

Rourke, Thomas - In: Journal of financial markets 20 (2014), pp. 175-193

Persistent link: https://www.econbiz.de/10010442379

Uncovering the impact of regulated Bitcoin futures on volatility and volume

Menchetti, Fiammetta; Cipollini, Fabrizio; Mealli, Fabrizia - 2022

In December 2017, two leading derivative exchanges, CBOE and CME, introduced the firstregulated Bitcoin futures. Our … aim is estimating their impact on Bitcoin volatility and tradingvolume. Employing a new causal approach, C-ARIMA, we find … that the CME future triggered anincrease in both outcomes. There is also evidence of a positive volume-volatility …

Persistent link: https://www.econbiz.de/10013296669