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The effects of economic news on commodity prices
16 references·6 citing·50 second hopsampled
The effects of economic news on commodity prices (2010)The effects of economic news on commodity…Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices (2010)Do Energy Prices Respond to U…Exchange rate forecasting, order flow and macroeconomic information (2009)Exchange rate forecasting, or…The Effect of Monetary Policy on Real Commodity Prices (2008)The Effect of Monetary Policy…Asset Prices and Monetary Policy (2008)Asset Prices and Monetary Pol…An Economic Evaluation of Empirical Exchange Rate Models (2008)An Economic Evaluation of Emp…Exchange rates and fundamentals: new evidence from real-time data (2005)Exchange rates and fundamenta…A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Micro Effects of Macro Announ…Informed trade in spot foreign exchange markets: an empirical investigation (2003)Informed trade in spot foreig…Asset Prices and Monetary Policy (2003)Asset Prices and Monetary Pol…What moves the gold market? (2001)What moves the gold market?Economic News and Bond Prices: Evidence from the U.S. Treasury Market (2001)Economic News and Bond Prices…Do macroeconomics news releases affect gold and silver prices? (2000)Do macroeconomics news releas…Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Price Formation and Liquidity…The Macroeconomic Determinants of Commodity Prices (1994)The Macroeconomic Determinant…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…The influence of investor sentiment on the monetary policy announcement liquidity response in precious metal markets (2018)The influence of investor sen…The linkage between aggregate investor sentiment and metal futures returns: A nonlinear approach (2015)The linkage between aggregate…The importance of belief dispersion in the response of gold futures to macroeconomic announcements (2015)The importance of belief disp…On the relationship between the prices of oil and the precious metals: Revisiting with a multivariate regime-switching decision tree (2014)On the relationship between t…Commodity Price Responses to Monetary Policy Surprises (2014)Commodity Price Responses to …Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets (2013)Quantification of the High Le…Empirical exchange rate models of the seventies (1983)Generalized autoregressive conditional heteroskedasticity (1986)Dynamic Conditional Correlation (2002)How the Subprime Crisis went global: Evidence from bank credit default swap spreads (2012)Currency Premia and Global Imbalances (2016)The relationship between oil prices and exchange rates: Revisiting theory and evidence (2020)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)Measuring Treasury Market Liquidity (2001)Currency Orders and Exchange Rate Dynamics: An Explanation for the Predictive Success of Technical Analysis (2003)Dealer behavior and trading systems in foreign exchange markets (2004)The Information Content of Annual Earnings Announcements (1968)Information Effects on the Bid-Ask Spread (1983)An Empirical Analysis of Stock and Bond Market Liquidity (2004)The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)Can volume predict Bitcoin returns and volatility? A quantiles-based approach (2017)What is an Oil Shock? (2000)What Explains the Stock Market's Reaction to Federal Reserve Policy? (2005)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Does the Fed Respond to Oil Price Shocks? (2011)Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003–2008? (2012)Oil Price Shocks: Causes and Consequences (2014)Continuous Auctions and Insider Trading (1985)Meese-Rogoff Redux: Micro-Based Exchange-Rate Forecasting (2005)Exchange rate expectations and economic policy uncertainty (2016)The Disease Outbreak Channel of Exchange Rate Return Predictability: Evidence from COVID-19 (2020)Expectations and Exchange Rate Dynamics (1976)The Optimal Degree of Commitment to an Intermediate Monetary Target (1985)Inflation Targeting: Lessons from the International Experience (1999)Capital Flow Bonanzas: An Encompassing View of the Past and Present (2008)Causes and Consequences of the Oil Shock of 2007-08 (2009)Commodity prices, interest rates and the dollar (2009)Comparing Predictive Accuracy (1994)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Volatility forecast comparison using imperfect volatility proxies (2010)Stock return variances (1986)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)Discretion versus policy rules in practice (1993)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)High-Frequency Trading and Price Discovery (2014)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
  • 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange1,377 cited
  • 2001Economic News and Bond Prices: Evidence from the U.S. Treasury Market896 cited
  • 1999Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information799 cited
  • 2010Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices406 cited
  • 2008The Effect of Monetary Policy on Real Commodity Prices398 cited
  • 2009Exchange rate forecasting, order flow and macroeconomic information281 cited
  • 2003Informed trade in spot foreign exchange markets: an empirical investigation274 cited
  • 2008An Economic Evaluation of Empirical Exchange Rate Models265 cited
  • 2008Asset Prices and Monetary Policy224 cited
  • 2003Asset Prices and Monetary Policy211 cited
  • 1994The Macroeconomic Determinants of Commodity Prices202 cited
  • 2001What moves the gold market?194 cited
  • 2000Do macroeconomics news releases affect gold and silver prices?

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171 cited
  • 2005Exchange rates and fundamentals: new evidence from real-time data153 cited
  • Cited by

    • 2014On the relationship between the prices of oil and the precious metals: Revisiting with a multivariate regime-switching decision tree81 cited
    • 2014Commodity Price Responses to Monetary Policy Surprises79 cited
    • 2013Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets72 cited
    • 2018The influence of investor sentiment on the monetary policy announcement liquidity response in precious metal markets40 cited
    • 2015The importance of belief dispersion in the response of gold futures to macroeconomic announcements30 cited
    • 2015The linkage between aggregate investor sentiment and metal futures returns: A nonlinear approach29 cited