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...

In the stochastic volatility models for multivariate daily stock returns, it has been found that estimates of parameters become unstable as dimension returns increases. To solve this problem, we focus on factor structure multiple and consider two additional sources information: first, index associated with market and, second, realized covariance matrix calculated from high-frequency data. The p...

Inclusion of jump component in the price process has been a long debate finance literature. In this paper, we identify and characterize risks Canadian stock market using high-frequency data from Toronto Stock Exchange. Our results provide strong evidence clustering – about 30% jumps occur within first 30 minutes trading hours, 25% are due to overnight returns. While average intraday is negative...