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News and the Foreign Exchange Market
1 references·16 citing·52 second hop
News and the Foreign Exchange Market (1991)News and the Foreign Exchange MarketARCH modeling in finance (1992)ARCH modeling in financeModeling and measuring intraday overreaction of stock prices (2011)Modeling and measuring intrad…Which News Moves the Euro Area Bond Market? 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this work references cited by second hop

References

  • 1992ARCH modeling in finance4,288 cited

Cited by

  • 2004Exchange rate puzzles: A tale of switching attractors258 cited
  • 2001Consistent High‐precision Volatility from High‐frequency Data126 cited
  • 2002Currency exchange rate forecasting from news headlines104 cited
  • 1993A chaotic model of the exchange rate: The role of fundamentalists and chartists86 cited
  • 2000Exchange Rates in Search of Fundamentals: The Case of the Euro–Dollar Rate61 cited
  • 1996Microstructural dynamics in a foreign exchange electronic broking system56 cited
  • 2003Customer trades and extreme events in foreign exchange52 cited
  • 2005Exchange rate volatility and the mixture of distribution hypothesis45 cited
  • 2001Consistent High-Precision Volatility from High-Frequency Data41 cited
  • 1997The Effects of Macroeconomic News on High Frequency Exchange Rate Behaviour40 cited
  • 2005The Exchange Rate and its Fundamentals in a Complex World37 cited
  • 2009Which News Moves the Euro Area Bond Market?37 cited
  • 1996The interaction between the frequency of market quotations, spread and volatility in the foreign exchange market35 cited
  • 1998Pattern recognition and procedurally rational expectations

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34 cited
  • 1997Order flow and the bid-ask spread: An empirical probability model of screen-based trading32 cited
  • 2011Modeling and measuring intraday overreaction of stock prices22 cited