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Public information releases, private information arrival and volatility in the foreign exchange market

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Author Info
DeGennaro, Ramon P.
Shrieves, Ronald E.

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Abstract

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File URL: http://www.sciencedirect.com/science/article/B6VFG-3SX21J9-1/2/a3c45cede0462d29fbd05e8d919287bc
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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 4 (1997)
Issue (Month): 4 (December)
Pages: 295-315
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Handle: RePEc:eee:empfin:v:4:y:1997:i:4:p:295-315

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Web page: http://www.elsevier.com/locate/jempfin

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  1. Martin D. D. Evans and Richard K. Lyons., 1999. "Order Flow and Exchange Rate Dynamics," Research Program in Finance Working Papers RPF-288, University of California at Berkeley. [Downloadable!]
    Other versions:
  2. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines "News" in Foreign Exchange Markets?," NBER Working Papers 11769, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  3. D. Johannes Juttner & Wayne Leung, 2004. "Towards Decoding Currency Volatilities," Research Papers 0405, Macquarie University, Department of Economics. [Downloadable!]
  4. Laakkonen, Helinä & Lanne, Markku, 2008. "Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times," MPRA Paper 8296, University Library of Munich, Germany. [Downloadable!]
  5. BEN OMRANE, Walid & HEINEN, AndrŽas, 2003. "The response of individual FX dealers'quoting activity to macroeconomic news announcements," CORE Discussion Papers 2003070, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
  6. Eugene Durenard & David Veredas, 2002. "Macro Surprises And Short-Term Behaviour In Bond Futures," CIRANO Working Papers 2002s-03, CIRANO. [Downloadable!]
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  7. Kathryn M. E. Dominguez & Freyan Panthaki, 2007. "The Influence of Actual and Unrequited Interventions," Working Papers 561, Research Seminar in International Economics, University of Michigan. [Downloadable!]
  8. Michael Melvin & Xixi Yin, . "Public Information Arrival, Exchange Rate Volatility, and Quote Frequency," Working Papers 96/1, Arizona State University, Department of Economics. [Downloadable!]
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  9. Evans, Kevin & Speight, Alan E H, 2007. "International Macroeconomic Announcements and Intraday Euro Exchange Rate Volatility," Cardiff Accounting and Finance Working Papers A2007/4, Cardiff University, Cardiff Business School, Accounting and Finance Section. [Downloadable!]
  10. Richard K. Lyons, 2001. "Foreign exchange: macro puzzles, micro tools," Pacific Basin Working Paper Series 01-10, Federal Reserve Bank of San Francisco. [Downloadable!]
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  11. Kathryn M. E. Dominguez, 2003. "When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?," Working Papers 506, Research Seminar in International Economics, University of Michigan. [Downloadable!]
  12. Li Li & Robert F. Engle, 1998. "Macroeconomic Announcements and Volatility of Treasury Futures," University of California at San Diego, Economics Working Paper Series 98-27, Department of Economics, UC San Diego. [Downloadable!]
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  13. Kathryn M. E. Dominguez & Freyan Panthaki, 2007. "The influence of actual and unrequited interventions," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 171-200. [Downloadable!]
  14. Martin D.D. Evans & Richard K. Lyons, 2005. "Do Currency Markets Absorb News Quickly?," NBER Working Papers 11041, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  15. Martin D. D. Evans & Richard K. Lyons, 2003. "How is Macro News Transmitted to Exchange Rates?," NBER Working Papers 9433, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  16. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines 'News' in Foreign Exchange Markets," Working Papers 547, Research Seminar in International Economics, University of Michigan. [Downloadable!]
  17. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), . "How is Macro News Transmitted to Exchange Rates? (December 2003)," Working Papers gueconwpa~05-05-05, Georgetown University, Department of Economics. [Downloadable!]
  18. Kathryn M.E. Dominguez & Freyan Panthaki, 2007. "The Influence of Actual and Unrequited Interventions," NBER Working Papers 12953, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  19. M. D. Mckenzie & R. D. Brooks, 2003. "The role of information in Hong Kong individual stock futures trading," Applied Financial Economics, Taylor and Francis Journals, vol. 13(2), pages 123-131, January. [Downloadable!] (restricted)
  20. Evans, Kevin & Speight, Alan, 2006. "Dynamic News Effects in High Frequency Euro Exchange Rate Returns and Volatility," Cardiff Accounting and Finance Working Papers A2006/4, Cardiff University, Cardiff Business School, Accounting and Finance Section. [Downloadable!]
  21. Torben G. Andersen & Tim Bollerslev, 1996. "DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies," NBER Working Papers 5783, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  22. Darmoul Mokhtar, 2006. "The impact of monetary policy signals on the intradaily Euro-dollar volatility," Cahiers de la Maison des Sciences Economiques bla06049, Université Panthéon-Sorbonne (Paris 1). [Downloadable!]
  23. Sylwia Nowak, 2008. "How Do Public Announcements Affect The Frequency Of Trading In U.S. Airline Stocks?," CAMA Working Papers 2008-38, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
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