This paper investigates the price volatility and trading volume relationship in the forward
freight agreement (FFA) market for dry bulk ships over the period 2007–2011. It is found that …

Several recent studies advocate the use of nonparametric estimators of daily price variability
that exploit intraday information. This paper compares four such estimators, realised …

Volatility as a phenomenon as well as a concept remains central to modern financial
markets and academic research. The link between volatility and risk has been to some …

This work presents a novel neural network model for forecasting option prices using past
volatilities and other options market factors. Out of different approaches to estimating …

Traditionally, the volatility of daily returns in financial markets is modeled autoregressively
using a time-series of lagged information. These autoregressive models exploit stylised …

The retail company on the liberalized electricity market faces an increasing price risk
exposure, stemming from the uncertain demand and the wholesale market price volatility. In …

This article examines the relationship among intradaily information flows, volatility and
volume based on the Mixture of Distribution Hypothesis (MDH). We generalize the MDH …

Access to information is necessary for market transparency. However, contrary to trading
volume and open interest, information related to day trading activities is rarely available. By …

This research project investigates the financial and economic impacts of social and
geopolitics events. The first two chapters focus on the impacts of the 2008 financial crisis on …

While much research related to forecasting return volatility does so in a univariate setting,
this paper includes proxies for information flows to forecast intra‐day volatility for the IBEX …