Time-varying macroeconomic announcement risk
Abstract
This paper examines an issue overlooked in the finance and economics literature: time variation in announcement volatility or event risk. To identify this, we combine long spans of high-frequency data with a flexible model of returns. The model allows us to separately identify conditional event risk from other factors like time-varying volatility, jumps and intraday periodicity, and long time spans of data are needed given the infrequency of most announcements. We focus on crude oil due to its economic importance, high volatility and complex announcement structure. Results indicate strong evidence for time-varying announcement volatility as announcement event risk varies by as much as a factor of 10 over time.
Fields of Study & Subjects
Market Dynamics and Volatility
Financial Risk and Volatility Modeling
Risk Management in Financial Firms
Publication details
- Journal / source
- Journal of Econometrics
- Publisher
- Elsevier BV
- Volume
- 254
- Pages
- 106194–106194
- Publication date
- 3 February 2026
- Language
- EN