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Asymmetric News Effects on Volatility: Good vs Bad News in Good vs Bad Times

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Figure

Figure 1.Figure 1 5-minute EUR/USD returns from 1 Jan 1999 to 31 Dec 2004
Figure 2 Autocorrelation coefficients of the original and filtered absolute returnsThe figure graphs the five day correlogram of the filtered five minute absolute USD/EURreturns (black line) compared to original absolute returns (grey line)
Table presents the key statistical figures for original and the filtered returns.Returns were filtered with Flexible Fourier Form model.
Table presents the number of announcements observations in each news category. The first news category
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