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Relative importance of scheduled macroeconomic news for stock market investors
16 references·6 citing·38 second hop
Relative importance of scheduled macroeconomic news for stock market investors (2003)Relative importance of scheduled macroeco…Theory of rational option pricing (2005)Theory of rational option pri…Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns (2001)Forecasting S&P 100 volatilit…Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Price Formation and Liquidity…The Creation and Resolution of Market Uncertainty: The Impact of Information Releases on Implied Volatility (1996)The Creation and Resolution o…Central bank intervention and the volatility of foreign exchange rates: evidence from the options market (1996)Central bank intervention and…THE GARCH OPTION PRICING MODEL (1995)THE GARCH OPTION PRICING MODELPredicting stock market volatility: A new measure (1995)Predicting stock market volat…Analysis of the Term Structure of Implied Volatilities (1994)Analysis of the Term Structur…Stock Prices, News, and Business Conditions (1993)Stock Prices, News, and Busin…How Markets Process Information: News Releases and Volatility (1993)How Markets Process Informati…Economic news, exchange rates and interest rates (1988)Economic news, exchange rates…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Stock Prices and Economic News (1985)Stock Prices and Economic NewsStock Prices and Economic News (1984)Stock Prices and Economic NewsTheory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The effects of quantitative easing on the volatility of the gilt-edged market (2014)The effects of quantitative e…An analysis of inflation and stock returns for the UK (2010)An analysis of inflation and …Turn‐of‐the‐month and intramonth effects: Explanation from the important macroeconomic news announcements (2006)Turn‐of‐the‐month and intramo…Macroeconomic News and Stock Returns in the United States and Germany (2006)Macroeconomic News and Stock …Impact of US and UK macroeconomic news announcements on the return distribution implied by FTSE-100 index options (2006)Impact of US and UK macroecon…What moves option-implied bond market expectations? (2005)What moves option-implied bon…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Economic Forces and the Stock Market (1986)Expected stock returns and volatility (1987)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Presidential Address: Expected Return, Realized Return, and Asset Pricing Tests (1999)Predictive regressions with time-varying coefficients (2012)Volatility connectedness in the cryptocurrency market: Is Bitcoin a dominant cryptocurrency? (2018)Stock return variances (1986)Why Does Stock Market Volatility Change Over Time? (1989)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Why Do Markets Move Together? An Investigation of U.S.‐Japan Stock Return Comovements (1996)Economic News and Bond Prices: Evidence from the U.S. Treasury Market (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The quality of market volatility forecasts implied by S&P 100 index option prices (1998)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Parametric and Nonparametric Volatility Measurement (2010)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Monte Carlo methods for security pricing (1997)A Closed-Form GARCH Option Valuation Model (2000)Stochastic Volatility for Lévy Processes (2003)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Information Content of Annual Earnings Announcements (1968)Measuring the Information Content of Stock Trades (1991)Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Yield spreads on EMU government bonds (2003)The Pre-FOMC Announcement Drift (2012)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)A multiple indicators model for volatility using intra-daily data (2005)Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements (2005)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)Option pricing: A simplified approach (1979)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1995THE GARCH OPTION PRICING MODEL1,131 cited
  • 1993How Markets Process Information: News Releases and Volatility970 cited
  • 1999Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information799 cited
  • 1993Stock Prices, News, and Business Conditions675 cited
  • 2001Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns589 cited
  • 1995Predicting stock market volatility: A new measure538 cited
  • 1985Stock Prices and Economic News420 cited
  • 1984Stock Prices and Economic News380 cited
  • 1996The Creation and Resolution of Market Uncertainty: The Impact of Information Releases on Implied Volatility268 cited
  • 1996Central bank intervention and the volatility of foreign exchange rates: evidence from the options market230 cited
  • 1988Economic news, exchange rates and interest rates212 cited

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  • 1994Analysis of the Term Structure of Implied Volatilities184 cited
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    • 2010An analysis of inflation and stock returns for the UK60 cited
    • 2006Turn‐of‐the‐month and intramonth effects: Explanation from the important macroeconomic news announcements52 cited
    • 2006Macroeconomic News and Stock Returns in the United States and Germany50 cited
    • 2006Impact of US and UK macroeconomic news announcements on the return distribution implied by FTSE-100 index options47 cited
    • 2005What moves option-implied bond market expectations?28 cited
    • 2014The effects of quantitative easing on the volatility of the gilt-edged market20 cited