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• W4281778052 abstract "Abstract This paper introduces new econometric tests to identify stochastic intensity jumps in high-frequency data. Our approach exploits the behavior of a time-varying stochastic intensity and allows us to assess how intensely stock market reacts to news. We describe the asymptotic properties of our test statistics, derive the associated central limit theorem and show in simulations that the tests have good size and reasonable power in finite-sample cases. Implementing our testing procedures on the S&P 500 exchange-traded fund data, we find strong evidence for the presence of intensity jumps surrounding the scheduled Federal Open Market Committee (FOMC) policy announcements. Intensity jumps occur very frequently, trigger sharp increases in realized volatility and arrive when differences in opinion among market participants are large at times of FOMC press releases. Unlike intensity jumps, volatility jumps fail to explain the variation in news-induced realized volatility." @default.
• W4281778052 created "2022-06-13" @default.
• W4281778052 creator A5030614102 @default.
• W4281778052 creator A5068509753 @default.
• W4281778052 date "2022-06-08" @default.
• W4281778052 modified "2023-09-25" @default.
• W4281778052 title "News Arrival, Time-Varying Jump Intensity, and Realized Volatility: Conditional Testing Approach" @default.
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• W4281778052 doi "https://doi.org/10.1093/jjfinec/nbac015" @default.
• W4281778052 hasPublicationYear "2022" @default.
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