Given the dominant role the US economy plays in global trade, we explore how US
macroeconomic surprises affect stock markets in ten major developed economies as well as …

This thesis comprises of three essays on the pricing of financial deriva-tives. In the first
essay, we assess the return fitting and option valuation performance of generalized …

We introduce a dynamic volatility model in which stock market volatility varies around a time-
varying fundamental level. This fundamental level is determined by macroeconomic risk …

There are probably only few other questions as central to economics as the question" How
do market prices react to news?". The reaction of prices to new information has interested …

I analyze the link between macroeconomic announcement surprises, intradaily returns on
the S&P500 Index, and the subsequent revisions to the announced data. I show that …

At a macroeconomic level, scheduled announcements most commonly relate to the release
of news by government and its agencies, regarding certain macroeconomic indicators of …