Purpose The paper aims to explore the informational role of futures volume in the
simultaneous relationship between option volume and spot volatility to forecast the volatility …

There are a plethora of studies on the determinants of the spot volatility. The issue of
determining spot volatility becomes more convoluted and esoteric when the security …

This article examines the relation between dollar–real exchange rate volatility implied in
option prices and subsequent realized volatility. It investigates whether implied volatilities …

Disertacinio darbo aktualumas. Didėjantis neapibrėžtumo laipsnis tiek finansų, tiek žaliavų,
gaminių ir paslaugų rinkose bei kartu sparčiai auganti investavimo rizika kartu su …

We test for asymmetry in the price–volume relation, using a sample of 36 individual stocks
listed on the Kuwait stock exchange. For this purpose, we employ an asymmetric …

This paper analyzes the effect of trading volume on volatility and returns in the
cryptocurrency market. In particular, we analyze the causal effect of trading volume on …

Disertacinio darbo aktualumas. Didėjantis neapibrėžtumo laipsnis tiek finansų, tiek žaliavų,
gaminių ir paslaugų rinkose bei kartu sparčiai auganti investavimo rizika kartu su …

In the era of High Frequency Trading, a comparison between the impacts of spot trading
volume on the Standard & Poor's (S&P) 500 Index returns and S&P 500 Futures returns is …

The Volume Profile of Call Options Page 1 Electronic copy available at: http://ssrn.com/abstract=1928119
The Volume Profile of Call Options Dallas Brozik Marshall University Huntington, West …

This dissertation studies long memory and forecasting performances of extreme value
volatility estimators which are constructed with the highest and lowest intraday prices. First, I …