jumps. Jumps, High-Frequency Data, Spurious Detections, Jumps Dynamics, News Releases, Cojumps …

This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns … directing process which are required in order to generate proper volatility dynamics while simultaneously matching the …

This study examines volatility spillover dynamics among the S&P 500 index, the US 10-year Treasury yield, the US dollar … 29, 1996 to November 12, 2018. To address nonlinear and asymmetric spillover dynamics in low and high volatility states …

factors determining the relative importance of releases, the time series properties and the information content of the … macroeconomic news flow are investigated. In particular, several types of information regarding inflation and economic strength are … distinguished. The explanatory power of the type of information is tested against the alternative hypothesis that the timeliness of …

This paper delineates the simultaneous impact of non-anticipated information on first and second moments of the … about the precise price impact of this information. Analyzing the US employment report, we find that headline information is …

We study the impact of private information on volatility in financial markets. We develop a comprehensive framework to … investigate this link while controlling for the effects of both public information (such as macroeconomic news releases) and … private information on prices and the effects of public information on volatility. Using a high-frequency 30-year U …

information about macroeconomic fundamentals. Pre-announcement drift might originate from a combination of information leakage and …

on average for about half of the total price adjustment. These results imply that some traders have private information … information leakage and superior forecasting based on proprietary data collection and reprocessing of public information …