We investigate the relationship between macroeconomic news and sovereign spreads in the euro area at weekly frequency. Our focus lies in the role played by macroeconomic announcements. To this aim we augment a standard GARCH model with a synthetic measure for macroeconomic surprises obtained by...

Realized volatilities, when observed over time, share the following stylised facts: comovements, clustering, long-memory, dynamic volatility, skewness and heavy-tails. We propose a dynamic factor model that captures these stylised facts and that can be applied to vast panels of volatilities as...