This study investigates the impact of scheduled and unscheduled information arrival on realized volatility and volume in the USD/AUD exchange rate. We find that trading outside of Australian business hours dominates and this is mostly due to the higher frequency of information arrivals during...

Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 generally exceed the corresponding continuous betas. We...