We estimate post-jump volatility-decay risk premia as the predictable ‎difference between periods of high and low diffusive volatility. By ‎constructing straddle portfolios after positive and negative jumps occur, we ‎show that the gains that these hedged options' portfolios yield...

Advances in Natural Language Processing (NLP), computing power and data availability are driving an explosion in research about the impact of news on asset prices. However, when relating news to individual assets, this research is based on mentions of specifuc assets or related terms in the news...