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The Impact of Macroeconomic News on Exchange Rate Volatility
16 references·3 citing·41 second hop
The Impact of Macroeconomic News on Exchange Rate Volatility (2005)The Impact of Macroeconomic News on Excha…The Efficient Market Hypothesis and Its Critics (2003)The Efficient Market Hypothes…Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Micro Effects of Macro Announ…The price dynamics of common trading strategies (2002)The price dynamics of common …Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2002)Micro Effects of Macro Announ…Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model (1999)Stock Market Overreactions to…The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior (1998)The Effects of Macroeconomic …Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…A Model of Investor Sentiment (1997)A Model of Investor SentimentHow Markets Process Information: News Releases and Volatility (1993)How Markets Process Informati…ARCH modeling in finance (1992)ARCH modeling in financeA Theory of Intraday Patterns: Volume and Price Variability (1988)A Theory of Intraday Patterns…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …A model of investor sentiment /A model of investor sentiment…FAST: Financial News and Tweet Based Time Aware Network for Stock Trading (2021)FAST: Financial News and Twee…Robust Monetary Policy in the New-Keynesian Framework (2007)Robust Monetary Policy in the…Exchange Rate Volatility, Macro Announcements and the Choice of Intraday Seasonality Filtering Method (2007)Exchange Rate Volatility, Mac…Expectations and Exchange Rate Dynamics (1976)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Continuous Auctions and Insider Trading (1985)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Common risk factors in the returns on stocks and bonds (1993)Asymmetric causality tests with an application (2011)Evaluating multiple classifiers for stock price direction prediction (2015)Applications of deep learning in stock market prediction: Recent progress (2021)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Realized Variance and Market Microstructure Noise (2006)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Measuring the Information Content of Stock Trades (1991)Judgment under Uncertainty: Heuristics and Biases (1975)The Cross-Section of Expected Stock Returns (1992)In Search of Attention (2011)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Real-time price discovery in global stock, bond and foreign exchange markets (2007)Discretion versus policy rules in practice (1993)High-Frequency Trading and Price Discovery (2014)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)
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References

  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • n.d.A model of investor sentiment /4,073 cited
  • 1988A Theory of Intraday Patterns: Volume and Price Variability3,120 cited
  • 2003The Efficient Market Hypothesis and Its Critics2,159 cited
  • 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange1,377 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
  • 1999Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model997 cited
  • 1993How Markets Process Information: News Releases and Volatility970 cited
  • 2002The price dynamics of common trading strategies475 cited
  • 1997A Model of Investor Sentiment449 cited
  • 2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

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339 cited
  • 1998The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior302 cited
  • Cited by

    • 2021FAST: Financial News and Tweet Based Time Aware Network for Stock Trading41 cited
    • 2007Exchange Rate Volatility, Macro Announcements and the Choice of Intraday Seasonality Filtering Method25 cited
    • 2007Robust Monetary Policy in the New-Keynesian Framework13 cited