The Covid-19 pandemic, in Canada and around the world, accelerated trends toward non-cash payments. In this paper, we assess the impact of high-frequency fluctuations in the severity of the pandemic on payment behaviour. These fluctuations are measured by daily changes in restrictions...

We combine modern methods from Speech Emotion Recognition and Natural Language Processing with high-frequency financial data to precisely analyze how the vocal emo- tions and language of ECB President Mario Draghi affect the yields and yield spreads of major euro area economies. This novel...

Investing in cryptocurrencies is progressively becoming a norm; however, these assets are excessively volatile and often decrease or increase in value instantly. Thus, rational investors holding cryptocurrencies for extended periods firmly search for assets that can diversify their risk,...

This paper compares the statistical and economic performance of state-of-the-art highfrequency based multivariate volatility models with a simpler, widely used alternative-the Exponentially Weighted Moving Average (EWMA) filter. Using over two decades of 100 U.S. stock returns (2002-2023), we...