... in a data-rich environment using a factor augmented VAR (FAVAR). Findings The results show that the ECB’s unconventional monetary policy positively affects the stock market. A QE shock leads to an increase in stock prices and a drop in the realized volatility and the implied risk premium. The authors...

... is not left overnight. This paper aims to explore the relationship between intraday filter trading profitability and intraday realized volatilities. The bivariate thin plate spline (TPS) model is chosen to fit the predictor-response surface for high frequency data from the Hang Seng index futures (HSIF...