In this study, we explore the effect of cojumps within the agricultural futures market, and
cojumps between the agricultural futures market and the stock market, on stock volatility …

This study investigates the patterns of integration of emerging and frontier equity markets
with the US stock market during the period 2002–2014 characterised by financial turmoil …

We investigate the news coverage effect in explaining and predicting the portfolio returns.
We find that stocks with more news coverage yield higher abnormal returns. The news …

This paper proposes a GARCH-jump mixed model for individual stock returns that takes into
account four types of risks: the systematic and idiosyncratic jumps and the systematic and …

This paper examines the intensities of asymmetric jumps and cojumps in crude oil and major
foreing exchange rates (EUR/USD, USD/JPY, GBP/USD, AUD/USD, USD/CHF and …

The market price of any stock or financial instrument listed on an exchange would be
assumed to be observed price, though we believe there is always a true price (or fair market …

We develop a new framework to measure market-wide (systemic) tail risk in the cross-
section of high-frequency stock returns. We estimate the time-varying jump intensities of …

News containing important financial and economic information plays a crucial role in the
process of investment and trading in financial markets. Sudden large changes and strong …

This thesis focuses on the relation between financial markets and news announcements,
comprising three empirical essays. The first essay (Chapter 2) investigates the predictability …