Johannes, Michael S.; Seeger, Norman; Stroud, Jonathan R - 2022
volatility or event risk. We combine long spans of high-frequency data with a flexible parametric model of returns, which al …- lows to identify announcement returns, capture intraday volatility dynamics, and identify conditional announcement … volatility. Long time spans are needed due to the infrequency of most announcements. We focus on crude oil due to its economic …