This paper examines jump dynamic patterns in three Chinese medical stocks. It also compares the Value-at-Risk (VaR) forecasting performance of a newly proposed realized volatility model allowing for jumps with that of two commonly used realized volatility models, which do not account for jumps. Using the Heterogeneous Autoregressive Realized Volatility model that allows for jumps (HAR-CJN), we ...

This paper deals with the impact of nine categories of scheduled and unscheduled news announcements on the Euro/Dollar return volatility. We highlight and analyze the pre-announcement, contemporaneous and postannouncement reactions. Using high-frequency intraday data and within the framework of ARCH-type and realized volatility models, we show that volatility increases in the pre-announcement p...