The fully-revised data typically utilized in empirical research do not reflect the true information available to financial market participants at the time of their decision-making. This paper uses a new real-time macroeconomic dataset to appraise the relative importance of different vintages of...

This paper considers a 19-month sample of 5-min returns for three euro exchange rates, and provides an analysis of the news impact effects associated with the unexpected component of a wide range of international macroeconomic announcements. Our findings reveal that US news relating to leading...

The short-run reaction of Euro returns volatility to a wide range of macroeconomic announcements is investigated using 5-min returns for spot Euro-Dollar, Euro-Sterling and Euro-Yen exchange rates. The marginal impact of each individual macroeconomic announcement on volatility is isolated whilst...

An analysis is reported of the short-term effects of the announcements in 1996 and 2000 of the winning bids for the live English Premiership television broadcasting rights on the share prices of British Sky Broadcasting (BSkyB) and several football clubs. Over time, the commercial fortunes of...

This paper investigates the dynamic, short-run response of Euro exchange rate returns to the information surprise of global macroeconomic announcements. In addition, it advocates a new approach to modelling intraday exchange rate volatility to allow accurate characterisation of reactions. US...

Previous research concerned with the investigation of intraday data has typically sought to model that data using techniques to control for intraday periodicity, has applied models of short-horizon and long-horizon dependencies, or has utilised intraday data in the construction of realised...

This paper applies recent non-parametric intraday jump detection procedures to investigate the presence and importance of intraday jumps in US futures markets. More importantly, the paper investigates the extent to which statistically significant intraday jumps are associated with US...

This paper provides an analysis of intraday volatility using 5-min returns for Euro-Dollar, Euro-Sterling and Euro-Yen exchange rates, and therefore a new market setting. This includes a comparison of the performance of the Fourier flexible form (FFF) intraday volatility filter with an...

This letter tests for the presence of non-linearities in UK and US industrial and sectoral production growth rates using a joint model of bilinearity inconditional mean and generalized-autoregressive-conditional heteroscedasticity, the latter augmented by lagged production growth rates so as to...