This paper models different components of the return distribution which are assumed to be directed by a latent news process. The conditional variance of returns

This study employs firm-specific announcements as a proxy for information flows and investigates the information-volatility relation using high-frequency data f

This book constitutes the refereed proceedings of the 6th International Symposium on Integrated Uncertainty in Knowledge Modelling and Decision Making, IUKM 201

Forecasting in the presence of structural breaks and model uncertainty are active areas of research with implications for practical problems in forecasting. Thi