Chen, Xilong; Ghysels, Eric - In: Review of Financial Studies 24 (2011) 1, pp. 46-81
We introduce a new class of parametric models applicable to a mixture of high and low frequency returns and revisit the concept of news impact curves introduced by Engle and Ng (1993). Overall, we find that moderately good (intra-daily) news reduces volatility (the next day), while both very...