credit default swap (CDS) spreads and spread volatility are examined over a recent period of financial instability from … effects on other national sovereign CDS markets but the volatility responses to domestic news and foreign news from the major … economies differ. CDS spread volatility increases in response to all domestic news and good news tends to exert relatively …

"low" and "high" volatility periods. These periods are determined by estimating asset dynamics using a SWARCH process. Our … results suggest that securities volatility is higher during periods of financial or economic instability. We use these results … to evaluate the impact of news during "low" and "high" volatility periods using a GARCH model. News effects, especially …

Utilising a comprehensive sample of U.S. and Chinese macroeconomic news announcements, we determine that volatility in … prices (PPI). Much of this effect appears to be driven by volatility in the Energy markets. During the 2007-09 crisis …

whether macroeconomic news from the U.S. affects Bitcoin in the same way it affects other common investment assets such as … announcements from the U.S. were selected, and an empirical analysis of the daily returns, volatility, and volume of the selected … assets was conducted. The results show that while Bitcoin is the most volatile (i.e., riskiest) of all the assets, the …

We examine the state-dependent volatility reaction to macroeconomic news in the euro-dollar, pound-dollar and yen …, the volatility reaction to macroeconomic news is larger in expansions compared to the recession period in the three … consistently associated with larger volatility response in expansions. New home sales and the Fed funds rate announcements, on the …