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Do economic news releases affect tail risk? Evidence from an emerging market
16 references·2 citing·41 second hop
Do economic news releases affect tail risk? Evidence from an emerging market (2020)Do economic news releases affect tail ris…Tail Risk and Asset Prices (2014)Tail Risk and Asset PricesVolatility Jumps (2010)Volatility JumpsJumps, cojumps and macro announcements (2010)Jumps, cojumps and macro anno…Granger causality in risk and detection of extreme risk spillover between financial markets (2009)Granger causality in risk and…Real-time price discovery in global stock, bond and foreign exchange markets (2007)Real-time price discovery in …Informed and Strategic Order Flow in the Bond Markets (2007)Informed and Strategic Order …CAViaR (2004)CAViaRMicro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Micro Effects of Macro Announ…Economic News and Bond Prices: Evidence from the U.S. Treasury Market (2001)Economic News and Bond Prices…Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Price Formation and Liquidity…Capital Flows to Latin America: Is There Evidence of Contagion Effects? (1996)Capital Flows to Latin Americ…Economic Reform and the Process of Global Integration (1995)Economic Reform and the Proce…The Effect of Public Information and Competition on Trading Volume and Price Volatility (1993)The Effect of Public Informat…How Markets Process Information: News Releases and Volatility (1993)How Markets Process Informati…Volatility in the Foreign Currency Futures Market (1991)Volatility in the Foreign Cur…Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Information and Volatility: T…Forecasting stock-market tail risk and connectedness in advanced economies over a century: The role of gold-to-silver and gold-to-platinum price ratios (2022)Forecasting stock-market tail…Climate risks and U.S. stock‐market tail risks: A forecasting experiment using over a century of data (2022)Climate risks and U.S. stock‐…Increasing Returns and Long-Run Growth (1986)On the mechanics of economic development (1988)A Contribution to the Empirics of Economic Growth (1992)Does Social Capital Have an Economic Payoff? A Cross-Country Investigation (1997)Why do Some Countries Produce So Much More Output Per Worker than Others? (1999)Institutions Rule: The Primacy of Institutions Over Geography and Integration in Economic Development (2002)Stock return variances (1986)Why Does Stock Market Volatility Change Over Time? (1989)Why Does Stock Market Volatility Change Over Time? (1989)Intraday periodicity and volatility persistence in financial markets (1997)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Discretion versus policy rules in practice (1993)Dynamic Conditional Correlation (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Capital Flows, Push versus Pull Factors and the Global Financial Crisis (2011)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)The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Foreign Speculators and Emerging Equity Markets (2000)Theory of rational option pricing (2005)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Impact of News on Volatility (1993)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Measuring the Information Content of Stock Trades (1991)Empirical exchange rate models of the seventies (1983)ARCH modeling in finance (1992)High-Frequency Trading and Price Discovery (2014)The Behavior of Stock-Market Prices (1965)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance * (2012)Measuring Systemic Risk (2016)Replicating Anomalies (2018)Leading Indicators of Currency Crises (1998)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)
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References

  • 1995Economic Reform and the Process of Global Integration4,970 cited
  • 2004CAViaR2,210 cited
  • 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange1,416 cited
  • 2007Real-time price discovery in global stock, bond and foreign exchange markets1,127 cited
  • 1989Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy1,047 cited
  • 1993How Markets Process Information: News Releases and Volatility970 cited
  • 2001Economic News and Bond Prices: Evidence from the U.S. Treasury Market896 cited
  • 2014Tail Risk and Asset Prices825 cited
  • 1999Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information799 cited
  • 1996Capital Flows to Latin America: Is There Evidence of Contagion Effects?482 cited
  • 2009Granger causality in risk and detection of extreme risk spillover between financial markets367 cited
  • 2010Jumps, cojumps and macro announcements300 cited
  • 1991Volatility in the Foreign Currency Futures Market284 cited
  • 1993The Effect of Public Information and Competition on Trading Volume and Price Volatility244 cited
  • 2007Informed and Strategic Order Flow in the Bond Markets

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234 cited
  • 2010Volatility Jumps217 cited
  • Cited by

    • 2022Forecasting stock-market tail risk and connectedness in advanced economies over a century: The role of gold-to-silver and gold-to-platinum price ratios17 cited
    • 2022Climate risks and U.S. stock‐market tail risks: A forecasting experiment using over a century of data16 cited