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Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange · Study

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PreprintMicro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

Clara Vega2002

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Preprintgreen2002

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

Clara Vega · Torben G. Andersen · Tim Bollerslev · Francis X. Diebold

339 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Monetary Policy and Economic Impact Financial Risk and Volatility Modeling

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References

1993Discretion versus policy rules in practice 1983Empirical exchange rate models of the seventies n.d.A model of investor sentiment /2001The distribution of realized stock return volatility 2001The Distribution of Realized Exchange Rate Volatility 2001Monetary policy surprises and interest rates: Evidence from the Fed funds futures market 1986Stock return variances 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies

Cited by

2010Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices 2016Surprise and uncertainty indexes: Real-time aggregation of real-activity macro-surprises 2007Asset Prices and Exchange Rates 2008Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility 2019Policy News and Stock Market Volatility 2009Exchange rate forecasting, order flow and macroeconomic information

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2002Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchangereport · 17 shared references 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchangearticle · 10 shared references 2008How is macro news transmitted to exchange rates?article · 9 shared references 2005Real-Time Price Discovery in Stock, Bond and Foreign Exchange Marketsreport · 9 shared references 2016Can information be locked up? Informed trading ahead of macro-news announcementsarticle · 9 shared references 2005Exchange rates and fundamentals: new evidence from real-time dataarticle · 9 shared references

Details

Year2002

Typepreprint

Published2002-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations339

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.312158

openalex_workW2163725872

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2007Informed and Strategic Order Flow in the Bond Markets

2012Real‐Time Forecasts of Inflation: The Role of Financial Variables