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The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report
16 references·0 citing·41 second hop
The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report (2002)The Processing of Non-Anticipated Informa…Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Price Formation and Liquidity…Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…Volatilities of different time resolutions — Analyzing the dynamics of market components (1997)Volatilities of different tim…Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…Differential Interpretation of Public Signals and Trade in Speculative Markets (1995)Differential Interpretation o…How Markets Process Information: News Releases and Volatility (1993)How Markets Process Informati…Differences of Opinion Make a Horse Race (1993)Differences of Opinion Make a…A geographical model for the daily and weekly seasonal volatility in the foreign exchange market (1993)A geographical model for the …Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Heteroskedasticity in Stock R…Alternative models for conditional stock volatility (1990)Alternative models for condit…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Expected stock returns and volatility (1987)Expected stock returns and vo…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL* (1976)A MODEL OF ASSET TRADING UNDE…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)On the Impossibility of Informationally Efficient Markets (1980)Continuous Auctions and Insider Trading (1985)Noise Trader Risk in Financial Markets (1990)What Makes Investors Trade? (2001)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Individualism and Momentum around the World (2010)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)The Structure of Scientific Revolutions (1963)A Theory of Intraday Patterns: Volume and Price Variability (1988)Breadth of ownership and stock returns (2002)Disagreement and the Stock Market (2007)The Behavior of Stock-Market Prices (1965)The Information Content of Annual Earnings Announcements (1968)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)The variation of certain speculative prices (1997)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Stock Prices and Volume (1992)Forecasting Volatility in Financial Markets: A Review (2003)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)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)Realized Variance and Market Microstructure Noise (2006)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)
this work references cited by second hop

References

  • 1987Expected stock returns and volatility4,147 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1993Differences of Opinion Make a Horse Race1,650 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 1990Alternative models for conditional stock volatility1,272 cited
  • 1995Differential Interpretation of Public Signals and Trade in Speculative Markets1,192 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
  • 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects1,113 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
  • 1997Volatilities of different time resolutions — Analyzing the dynamics of market components745 cited

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  • 1993A geographical model for the daily and weekly seasonal volatility in the foreign exchange market609 cited
  • 1976A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL*608 cited
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