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Macroeconomic surprises and short-term behaviour in bond futures
16 references·0 citing·46 second hop
Macroeconomic surprises and short-term behaviour in bond futures (2005)Macroeconomic surprises and short-term be…Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Micro Effects of Macro Announ…When Is Bad News Really Bad News? (2002)When Is Bad News Really Bad N…Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2002)Micro Effects of Macro Announ…Economic News and Bond Prices: Evidence from the U.S. Treasury Market (2001)Economic News and Bond Prices…What Moves Bond Prices? (1999)What Moves Bond Prices?Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model (1999)Stock Market Overreactions to…Macroeconomic Announcements and Volatility of Treasury Futures (1998)Macroeconomic Announcements a…Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…Public information releases, private information arrival and volatility in the foreign exchange market (1997)Public information releases, …Stock Prices, News, and Business Conditions (1993)Stock Prices, News, and Busin…News effects in a high‐frequency model of the sterling‐dollar exchange rate (1993)News effects in a high‐freque…Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …The Response of Short-Term Interest Rates to Weekly Money Announcements (1982)The Response of Short-Term In…The "Rationality" of Money Supply Expectations and the Short-Run Response of Interest Rates to Monetary Surprises (1981)The "Rationality" of Money Su…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …The Distributed Lag Between Capital Appropriations and Expenditures (1965)The Distributed Lag Between C…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)An Intertemporal Capital Asset Pricing Model (1973)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)The Information Content of Annual Earnings Announcements (1968)Information Effects on the Bid-Ask Spread (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)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)Risk, Ambiguity, and the Savage Axioms (1961)Judgment under Uncertainty: Heuristics and Biases (1975)The Framing of Decisions and the Psychology of Choice (1981)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Theory of games and economic behavior (2019)A model of investor sentiment /Empirical exchange rate models of the seventies (1983)Discretion versus policy rules in practice (1993)Asset Prices and Exchange Rates (2007)Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices (2010)Surprise and uncertainty indexes: Real-time aggregation of real-activity macro-surprises (2016)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Theory of Intraday Patterns: Volume and Price Variability (1988)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)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)ARCH modeling in finance (1992)High-Frequency Trading and Price Discovery (2014)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Jumps, cojumps and macro announcements (2010)Corporate social responsibility and media coverage (2015)Chief sustainability officers and corporate social (Ir)responsibility (2019)MIDAS Regressions: Further Results and New Directions (2007)Loan growth and riskiness of banks (2010)How Large and Long-lasting Are the Persuasive Effects of Televised Campaign Ads? Results from a Randomized Field Experiment (2011)Advances in prospect theory: Cumulative representation of uncertainty (1992)
this work references cited by second hop

References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange1,377 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
  • 1965The Distributed Lag Between Capital Appropriations and Expenditures1,133 cited
  • 1999Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model997 cited
  • 2001Economic News and Bond Prices: Evidence from the U.S. Treasury Market896 cited
  • 1993Stock Prices, News, and Business Conditions675 cited
  • 2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange339 cited
  • 2002When Is Bad News Really Bad News?298 cited
  • 1997Public information releases, private information arrival and volatility in the foreign exchange market160 cited
  • 1993News effects in a high‐frequency model of the sterling‐dollar exchange rate144 cited
  • 1981The "Rationality" of Money Supply Expectations and the Short-Run Response of Interest Rates to Monetary Surprises128 cited
  • 1982The Response of Short-Term Interest Rates to Weekly Money Announcements98 cited

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  • 1998Macroeconomic Announcements and Volatility of Treasury Futures97 cited
  • 1999What Moves Bond Prices?88 cited
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