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Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
16 references·16 citing·45 second hopsampled
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2002)Micro Effects of Macro Announcements: Rea…Order Flow and Exchange Rate Dynamics (2002)Order Flow and Exchange Rate …The distribution of realized stock return volatility (2001)The distribution of realized …The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Monetary policy surprises and…Modeling and Forecasting Realized Volatility (2001)Modeling and Forecasting Real…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…Do Measures of Monetary Policy in a VAR Make Sense (1998)Do Measures of Monetary Polic…Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…Exchange rates and fundamentals: Evidence on long-horizon predictability (1995)Exchange rates and fundamenta…Stock Prices, News, and Business Conditions (1993)Stock Prices, News, and Busin…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…How Markets Process Information: News Releases and Volatility (1993)How Markets Process Informati…Discretion versus policy rules in practice (1993)Discretion versus policy rule…A geographical model for the daily and weekly seasonal volatility in the foreign exchange market (1993)A geographical model for the …A model of investor sentiment /A model of investor sentiment…International Channels of the Fed’s Unconventional Monetary Policy (2013)International Channels of the…Exchange Rates and Interest Parity (2013)Exchange Rates and Interest P…Financial Risk Measurement for Financial Risk Management (2012)Financial Risk Measurement fo…The Intraday Behaviour of Bid-Ask Spreads, Trading Volume and Return Volatility: Evidence from DAX30 (2011)The Intraday Behaviour of Bid…Using Intraday Data to Gauge Financial Market Responses to Fed and ECB Monetary Policy Decisions (2007)Using Intraday Data to Gauge …Noisy Macroeconomic Announcements, Monetary Policy, and Asset Prices (2006)Noisy Macroeconomic Announcem…Central Bank Intervention and Exchange Rate Volatility, Its Continuous and Jump Components, (2006)Central Bank Intervention and…Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission (2005)Stocks, Bonds, Money Markets …Do Currency Markets Absorb News Quickly? (2005)Do Currency Markets Absorb Ne…The Dynamics of Price Discovery (2004)The Dynamics of Price Discove…Exchange Rate Changes and Net Positions of Speculators in the Futures Market (2004)Exchange Rate Changes and Net…Nonlinear prediction of exchange rates with monetary fundamentals (2003)Nonlinear prediction of excha…Asset Prices and Exchange Rates (2003)Asset Prices and Exchange Rat…Time-varying liquidity in foreign exchange (2002)Time-varying liquidity in for…Parametric and Nonparametric Volatility Measurement (2002)Parametric and Nonparametric …Parametric and Nonparametric Volatility Measurement (2002)Parametric and Nonparametric …Expectations and Exchange Rate Dynamics (1976)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Comparing Predictive Accuracy (1994)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? 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The Response of Asset Prices to Monetary Policy Actions and Statements (2004)High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)Monetary Policy Surprises, Credit Costs, and Economic Activity (2015)
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References

  • 1993Discretion versus policy rules in practice9,059 cited
  • n.d.A model of investor sentiment /4,073 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2001Monetary policy surprises and interest rates: Evidence from the Fed funds futures market2,054 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
  • 1995Exchange rates and fundamentals: Evidence on long-horizon predictability1,044 cited
  • 1993How Markets Process Information: News Releases and Volatility970 cited
  • 2002Order Flow and Exchange Rate Dynamics957 cited
  • 2001Economic News and Bond Prices: Evidence from the U.S. Treasury Market896 cited
  • 2001Modeling and Forecasting Realized Volatility824 cited
  • 1999Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information799 cited
  • 1993Stock Prices, News, and Business Conditions675 cited
  • 1998Do Measures of Monetary Policy in a VAR Make Sense629 cited

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  • 1993A geographical model for the daily and weekly seasonal volatility in the foreign exchange market609 cited
  • Cited by

    • 2003Nonlinear prediction of exchange rates with monetary fundamentals105 cited
    • 2002Time-varying liquidity in foreign exchange101 cited
    • 2005Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission85 cited
    • 2002Parametric and Nonparametric Volatility Measurement71 cited
    • 2003Asset Prices and Exchange Rates60 cited
    • 2005Do Currency Markets Absorb News Quickly?55 cited
    • 2006Central Bank Intervention and Exchange Rate Volatility, Its Continuous and Jump Components,54 cited
    • 2013Exchange Rates and Interest Parity53 cited
    • 2004The Dynamics of Price Discovery50 cited
    • 2002Parametric and Nonparametric Volatility Measurement48 cited
    • 2012Financial Risk Measurement for Financial Risk Management43 cited
    • 2013International Channels of the Fed’s Unconventional Monetary Policy41 cited
    • 2007Using Intraday Data to Gauge Financial Market Responses to Fed and ECB Monetary Policy Decisions41 cited
    • 2006Noisy Macroeconomic Announcements, Monetary Policy, and Asset Prices41 cited
    • 2011The Intraday Behaviour of Bid-Ask Spreads, Trading Volume and Return Volatility: Evidence from DAX3041 cited
    • 2004Exchange Rate Changes and Net Positions of Speculators in the Futures Market39 cited