Contemporaneous inference from economic data releases for policy and business decisions has become increasingly relevant in the high pace of the information age. The released data are typically filtered to eliminate seasonal patterns to reveal underlying trends and cycles. The nature of economic...

Intraday high-frequency data of stock returns exhibit not only typical characteristics (e.g., volatility clustering and the leverage effect) but also a cyclical pattern of return volatility that is known as intraday seasonality. In this paper, we extend the stochastic volatility (SV) model for...