SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
The High-Frequency Response of the EUR-US Dollar Exchange Rate to ECB Communication
16 references·1 citing·40 second hop
The High-Frequency Response of the EUR-US Dollar Exchange Rate to ECB Communication (2007)The High-Frequency Response of the EUR-US…Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence (2008)Central Bank Communication an…Communication by Central Bank Committee Members: Different Strategies, Same Effectiveness? (2007)Communication by Central Bank…The high-frequency response of exchange rates and interest rates to macroeconomic announcements (2006)The high-frequency response o…Taylor Rules and the Deutschmark-Dollar Real Exchange Rate (2006)Taylor Rules and the Deutschm…Talking heads: the effects of ECB statements on the euro–dollar exchange rate (2005)Talking heads: the effects of…Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets (2005)Real-Time Price Discovery in …Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Micro Effects of Macro Announ…Stock Market Overreaction to Bad News in Good Times: A Rational Expectations Equilibrium Model (2000)Stock Market Overreaction to …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 …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…Modeling and pricing long memory in stock market volatility (1996)Modeling and pricing long mem…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates (1995)Some Empirical Evidence on th…Expectations and Exchange Rate Dynamics (1976)Expectations and Exchange Rat…Central bank’s perception on inflation and inflation expectations of experts (2015)Central bank’s perception on …Multivariate GARCH models: a surveyAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Content Analysis for the Social Sciences and Humanities. (1970)Maps of Bounded Rationality: Psychology for Behavioral Economics (2003)Social Value of Public Information: Morris and Shin (2002) Is Actually Pro-Transparency, Not Con: Reply (2006)From Turmoil to Crisis: Dislocations in the FX Swap Market Before and After the Failure of Lehman Brothers (2009)Shocking Language: Understanding the Macroeconomic Effects of Central Bank Communication (2015)Empirical exchange rate models of the seventies (1983)The federal funds rate and the channels of monetary transmission (1989)Large Bayesian vector auto regressions (2009)Capital Flows and the Risk-Taking Channel of Monetary Policy (2013)Cross-Border Banking and Global Liquidity (2014)An Intertemporal Capital Asset Pricing Model (1973)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Stock Valuation and Learning about Profitability (2003)Style investing (2003)Ambiguity, Information Quality, and Asset Pricing (2008)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)Exchange Rate Models Are Not as Bad as You Think (2007)Real-time price discovery in global stock, bond and foreign exchange markets (2007)The Pricing of Options and Corporate Liabilities (1973)5 Stochastic volatility (1996)Forecasting Volatility in Financial Markets: A Review (2003)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Theory of Intraday Patterns: Volume and Price Variability (1988)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)ARCH modeling in finance (1992)Discretion versus policy rules in practice (1993)High-Frequency Trading and Price Discovery (2014)Convergence Across States and Regions (1991)The Purchasing Power Parity Puzzle (1996)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)
this work references cited by second hop

References

  • 1976Expectations and Exchange Rate Dynamics4,704 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 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
  • 1996Modeling and pricing long memory in stock market volatility1,208 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
  • 1995Some Empirical Evidence on the Effects of Shocks to Monetary Policy on Exchange Rates1,127 cited
  • 1999Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model997 cited
  • 2006The high-frequency response of exchange rates and interest rates to macroeconomic announcements484 cited
  • 2007Communication by Central Bank Committee Members: Different Strategies, Same Effectiveness?370 cited
  • 1998The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior302 cited
  • 2008Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence213 cited
  • 2005Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets208 cited
  • 2006Taylor Rules and the Deutschmark-Dollar Real Exchange Rate

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

185 cited
  • 2005Talking heads: the effects of ECB statements on the euro–dollar exchange rate177 cited
  • 2000Stock Market Overreaction to Bad News in Good Times: A Rational Expectations Equilibrium Model172 cited
  • Cited by

    • 2015Central bank’s perception on inflation and inflation expectations of experts13 cited