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Intraday jumps and US macroeconomic news announcements · Study

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ArticleIntraday jumps and US macroeconomic news announcements

Kevin P. Evans2011

Article2011

Intraday jumps and US macroeconomic news announcements

145 citations·0/0 files stored·Journal of Banking & Finance

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

2004Power and Bipower Variation with Stochastic Volatility and Jumps 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies 2007Real-time price discovery in global stock, bond and foreign exchange markets 1993How Markets Process Information: News Releases and Volatility 2001Economic News and Bond Prices: Evidence from the U.S. Treasury Market

Cited by

2017Web Media and Stock Markets : A Survey and Future Directions from a Big Data Perspective 2012Speed, algorithmic trading, and market quality around U.S. macroeconomic news announcements 2013Cojumps in stock prices: Empirical evidence 2017Systemic co-jumps 2019The role of jumps in the agricultural futures market on forecasting stock market volatility: New evidence

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2009Empirical evidence on jumps in the term structure of the US Treasury Marketarticle · 16 shared references 2015Jumps in High-Frequency Data: Spurious Detections, Dynamics, and Newsarticle · 15 shared references 2008Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returnspreprint · 12 shared references 2013Cojumps in stock prices: Empirical evidencearticle · 11 shared references 2009An empirical examination of jump risk in asset pricing and volatility forecasting in China's equity and bond marketsarticle · 11 shared references 2009Continuous‐time models, realized volatilities, and testable distributional implications for daily stock returnsarticle · 10 shared references

Details

Year2011

Typearticle

Published2011-02-24

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations145

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jbankfin.2011.02.018

openalex_workW2013814711

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2018Macroeconomic news announcements, systemic risk, financial market volatility, and jumps

2014Volatility transmission in global financial markets

2019Overnight Momentum, Informational Shocks, and Late-Informed Trading in China