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Intraday jumps and US macroeconomic news announcements
16 references·15 citing·38 second hop
Intraday jumps and US macroeconomic news announcements (2011)Intraday jumps and US macroeconomic news …Testing for jumps in a discretely observed process (2009)Testing for jumps in a discre…Risk, jumps, and diversification (2008)Risk, jumps, and diversificat…How is macro news transmitted to exchange rates? (2008)How is macro news transmitted…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…Real-time price discovery in global stock, bond and foreign exchange markets (2007)Real-time price discovery in …Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Jumps in Financial Markets: A…No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications (2006)No-arbitrage semi-martingale …The Relative Contribution of Jumps to Total Price Variance (2005)The Relative Contribution of …Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Econometrics of Testing for J…The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)The Statistical and Economic …Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Micro Effects of Macro Announ…The surprise element: jumps in interest rates (2002)The surprise element: jumps i…Economic News and Bond Prices: Evidence from the U.S. Treasury Market (2001)Economic News and Bond Prices…Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…How Markets Process Information: News Releases and Volatility (1993)How Markets Process Informati…News and Asset Pricing: A High-Frequency Anatomy of the SDF (2022)News and Asset Pricing: A Hig…Discontinuous movements and asymmetries in cryptocurrency markets (2022)Discontinuous movements and a…Intraday analysis of macroeconomic news surprises, and asymmetries in Indian benchmark bond (2021)Intraday analysis of macroeco…Hunting the quicksilver: Using textual news and causality analysis to predict market volatility (2021)Hunting the quicksilver: Usin…The role of jumps in the agricultural futures market on forecasting stock market volatility: New evidence (2019)The role of jumps in the agri…Overnight Momentum, Informational Shocks, and Late-Informed Trading in China (2019)Overnight Momentum, Informati…Macroeconomic news announcements, systemic risk, financial market volatility, and jumps (2018)Macroeconomic news announceme…Web Media and Stock Markets : A Survey and Future Directions from a Big Data Perspective (2017)Web Media and Stock Markets :…Systemic co-jumps (2017)Systemic co-jumpsECB Monetary Policy Surprises: Identification Through Cojumps in Interest Rates (2015)ECB Monetary Policy Surprises…Volatility transmission in global financial markets (2014)Volatility transmission in gl…S&P 500 Index‐Futures Price Jumps and Macroeconomic News (2013)S&P 500 Index‐Futures Price J…Cojumps in stock prices: Empirical evidence (2013)Cojumps in stock prices: Empi…Speed, algorithmic trading, and market quality around U.S. macroeconomic news announcements (2012)Speed, algorithmic trading, a…Speed, Algorithmic Trading, and Market Quality Around Macroeconomic News Announcements (2012)Speed, Algorithmic Trading, a…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? 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this work references cited by second hop

References

  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
  • 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange1,377 cited
  • 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation1,346 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
  • 2007Real-time price discovery in global stock, bond and foreign exchange markets1,127 cited
  • 1993How Markets Process Information: News Releases and Volatility970 cited
  • 2001Economic News and Bond Prices: Evidence from the U.S. Treasury Market896 cited
  • 2005The Relative Contribution of Jumps to Total Price Variance890 cited
  • 2007Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics864 cited
  • 2009Testing for jumps in a discretely observed process587 cited
  • 2004The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models475 cited
  • 2008How is macro news transmitted to exchange rates?369 cited
  • 2002The surprise element: jumps in interest rates337 cited

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2006
No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications
301 cited
  • 2008Risk, jumps, and diversification290 cited
  • Cited by

    • 2017Web Media and Stock Markets : A Survey and Future Directions from a Big Data Perspective133 cited
    • 2012Speed, algorithmic trading, and market quality around U.S. macroeconomic news announcements115 cited
    • 2013Cojumps in stock prices: Empirical evidence94 cited
    • 2017Systemic co-jumps79 cited
    • 2019The role of jumps in the agricultural futures market on forecasting stock market volatility: New evidence58 cited
    • 2014Volatility transmission in global financial markets51 cited
    • 2019Overnight Momentum, Informational Shocks, and Late-Informed Trading in China51 cited
    • 2018Macroeconomic news announcements, systemic risk, financial market volatility, and jumps51 cited
    • 2012Speed, Algorithmic Trading, and Market Quality Around Macroeconomic News Announcements42 cited
    • 2013S&P 500 Index‐Futures Price Jumps and Macroeconomic News39 cited
    • 2021Hunting the quicksilver: Using textual news and causality analysis to predict market volatility39 cited
    • 2021Intraday analysis of macroeconomic news surprises, and asymmetries in Indian benchmark bond37 cited
    • 2022Discontinuous movements and asymmetries in cryptocurrency markets32 cited
    • 2022News and Asset Pricing: A High-Frequency Anatomy of the SDF31 cited
    • 2015ECB Monetary Policy Surprises: Identification Through Cojumps in Interest Rates23 cited