unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high … frequency data from January 2000 through August 2011. Significant time variation in news effects is present for those … announcements that have the largest effects on asset prices. The time variation in effects is explained by economic conditions …

, while the time span of the data remains fixed, and the cross-sectional dimension is fixed or increasing. We derive a Central … Limit Theorem (CLT) for the cross-sectional beta dispersion at a point in time, enabling us to test whether this quantity … beta dispersion, as a function of time-of-day, changes across days. We extend this further by developing inference …

high/low mood periods, including those induced by Daylight Saving Time changes, weather conditions and anticipation of …

This paper applies the Bates (RFS, 2006) methodology to the problem of estimating and filtering time- changed Lévy … paper examines how well time-changed Lévy specifications capture stochastic volatility, the "leverage" effect, and the … excess returns varies substantially over time, necessitating an additional latent variable when analyzing historical data on …