We implement the Fama-French five-factor model for the German market using recent monthly data from 2002 to 2017. We construct the five factors associated with the market, size, value, profitability, and investment for the CDAX constituents and examine to which extent the five-factor model...

We implement the VIX methodology on intraday data of a large set of individual equity options. We thereby consider approaches based on monthly option contracts, weekly option contracts, and a cubic spline interpolation approach. We are able to derive reliable model-free implied volatility...

We analyze intraday model-free implied volatility for a large sample of individual equities. For that purpose we adapt the CBOE VIX methodology and derive an intraday measure based on 1-minute option data. Within a review of the model-free IV theory and CBOE replication methodology we highlight...

We use intraday stock index return data from both sides of the Atlantic during overlapping trading hours to analyze the dynamic interactions between European and US stock markets. We are particularly interested in differences of information transmission before, during, and after the financial...