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The Impact of Macroeconomic News on Exchange Rate Volatility · Study

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PreprintThe Impact of Macroeconomic News on Exchange Rate Volatility

Helinä Laakkonen2005

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Preprintgreen2005

The Impact of Macroeconomic News on Exchange Rate Volatility

Helinä Laakkonen

34 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1970Efficient Capital Markets: A Review of Theory and Empirical Work 1998Investor Psychology and Security Market Under‐ and Overreactions 1992ARCH modeling in finance 1983Empirical exchange rate models of the seventies n.d.A model of investor sentiment /1988A Theory of Intraday Patterns: Volume and Price Variability 2003The Efficient Market Hypothesis and Its Critics 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

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2021FAST: Financial News and Tweet Based Time Aware Network for Stock Trading 2007Exchange Rate Volatility, Macro Announcements and the Choice of Intraday Seasonality Filtering Method

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2004Exchange Rates and Fundamentals: New Evidence from Real-Time Datapreprint · 10 shared references 2009Bank of England Interest Rate Announcements and the Foreign Exchange Marketpreprint · 8 shared references 2009Which News Moves the Euro Area Bond Market?article · 8 shared references 2011A Survey of Announcement Effects on Foreign Exchange Volatility and Jumpsarticle · 8 shared references 2009Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Timesarticle · 8 shared references 2007The High-Frequency Response of the EUR-US Dollar Exchange Rate to ECB Communicationpreprint · 8 shared references

Details

Year2005

Typepreprint

Published2005-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations34

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.644761

openalex_workW1549850399

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