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...

This article examines whether commonly used models of volatility can capture the cyclical behaviour of equity market volatility. The ability of a number of models to account for the dynamics governing periods of increasing and decreasing volatility will be examined. In summary, the commonly used...