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

by Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega

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  1. Ehrmann, Michael & Fratzscher, Marcel, 2004. "Exchange rates and fundamentals: new evidence from real-time data," Working Paper Series, European Central Bank 0365, European Central Bank.
  2. Paolo Pasquariello & Clara Vega, 2006. "Informed and strategic order flow in the bond markets," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 874, Board of Governors of the Federal Reserve System (U.S.).
  3. Barbara Bedowska-Sojka, 2011. "The Impact of Macro News on Volatility of Stock Exchanges," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, Uniwersytet Mikolaja Kopernika, vol. 11, pages 99-110.
  4. Martin D.D. Evans & Richard K. Lyons, 2005. "Do Currency Markets Absorb News Quickly?," NBER Working Papers 11041, National Bureau of Economic Research, Inc.
  5. King, Michael R. & Osler, Carol L. & Rime, Dagfinn, 2013. "The market microstructure approach to foreign exchange: Looking back and looking forward," Journal of International Money and Finance, Elsevier, Elsevier, vol. 38(C), pages 95-119.
  6. Kathryn M.E. Dominguez & Rasmus Fatum & Pavel Vacek, 2010. "Does foreign exchange reserve decumulation lead to currency appreciation?," Globalization and Monetary Policy Institute Working Paper 48, Federal Reserve Bank of Dallas.
  7. Paul Hubert, 2013. "FOMC forecasts as a focal point for private expectations," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE) 2013-12, Observatoire Francais des Conjonctures Economiques (OFCE).
  8. Linda S. Goldberg & Michael W. Klein, 2007. "Establishing Credibility: Evolving Perceptions of the European Central Bank," The Institute for International Integration Studies Discussion Paper Series, IIIS iiisdp194, IIIS.
  9. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2011. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 948-974, 09.
  10. Hashimoto, Yuko & Ito, Takatoshi, 2010. "Effects of Japanese macroeconomic statistic announcements on the dollar/yen exchange rate: High-resolution picture," Journal of the Japanese and International Economies, Elsevier, vol. 24(3), pages 334-354, September.
  11. Michael Melvin & Christian Saborowski & Michael Sager & Mark P. Tayor, 2010. "Bank of England Interest Rate Announcements and the Foreign Exchange Market," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 6(3), pages 211-247, September.
  12. Richard Heaney & Kerry Pattenden, 2005. "Change in unconditional foreign exchange rate volatility: an analysis of the GBP and USD price of the Euro from 2002 to 2003," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 12(15), pages 929-932.
  13. Han, Young Wook, 2005. "Long memory volatility dependency, temporal aggregation and the Korean currency crisis: the role of a high frequency Korean won (KRW)-US dollar ($) exchange rate," Japan and the World Economy, Elsevier, Elsevier, vol. 17(1), pages 97-109, January.
  14. Fischer, Andreas M & Ranaldo, Angelo, 2008. "Does FOMC News Increase Global FX Trading?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6753, C.E.P.R. Discussion Papers.
  15. Jon Wongswan, 2003. "Transmission of information across international equity markets," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 759, Board of Governors of the Federal Reserve System (U.S.).
  16. Fratzscher, Marcel, 2004. "Communication and exchange rate policy," Working Paper Series, European Central Bank 0363, European Central Bank.
  17. Hautsch, Nikolaus & Hess, Dieter & Müller, Christoph, 2011. "Price adjustment to news with uncertain precision," CFR Working Papers 08-04 [rev.], University of Cologne, Centre for Financial Research (CFR).
  18. Thomas Klitgaard & Laura Weir, 2004. "Exchange rate changes and net positions of speculators in the futures market," Economic Policy Review, Federal Reserve Bank of New York, Federal Reserve Bank of New York, issue May, pages 17-28.
  19. Lukas Menkhoff & Mark P. Taylor, 2007. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Journal of Economic Literature, American Economic Association, vol. 45(4), pages 936-972, December.
  20. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting," Working Papers, Georgetown University, Department of Economics gueconwpa~05-05-01, Georgetown University, Department of Economics.
  21. Kitchen, John, 2003. "A Note on the Observed Downward Bias in Real-Time Estimates of Payroll Jobs Growth in Early Expansions," MPRA Paper 21070, University Library of Munich, Germany.
  22. Entorf, Horst & Steiner, Christian, 2006. "Makroökonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose," Darmstadt Discussion Papers in Economics 36782, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute of Economics (VWL).
  23. Refet S. Gürkaynak & Andrew T. Levin & Eric T. Swanson, 2006. "Does inflation targeting anchor long-run inflation expectations? evidence from long-term bond yields in the U.S., U.K., and Sweden," Working Paper Series 2006-09, Federal Reserve Bank of San Francisco.
  24. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," OFRC Working Papers Series, Oxford Financial Research Centre 2005fe08, Oxford Financial Research Centre.
  25. Linda S. Goldberg & Michael W. Klein, 2010. "Evolving Perceptions of Central Bank Credibility: The European Central Bank Experience," NBER Chapters, in: NBER International Seminar on Macroeconomics 2010, pages 153-182 National Bureau of Economic Research, Inc.
  26. Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe, 2013. "Was bewegt den DAX?," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 66(23), pages 32-36, December.
  27. H. Henry Cao & Martin D. Evans & Richard K. Lyons, 2006. "Inventory Information," The Journal of Business, University of Chicago Press, vol. 79(1), pages 325-364, January.
  28. Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Widijanto, Daniel, 2014. "The Impact of News and the SMP on Realized (Co)Variances in the Eurozone Sovereign Debt Market," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9803, C.E.P.R. Discussion Papers.
  29. Albuquerque, Rui & Vega, Clara, 2006. "Asymmetric Information in the Stock Market: Economic News and Co-movement," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5598, C.E.P.R. Discussion Papers.
  30. Mu, Xiaoyi, 2007. "Weather, storage, and natural gas price dynamics: Fundamentals and volatility," Energy Economics, Elsevier, Elsevier, vol. 29(1), pages 46-63, January.
  31. Rosa, Carlo, 2013. "Market efficiency broadcasted live: ECB code words and euro exchange rates," Journal of Macroeconomics, Elsevier, Elsevier, vol. 38(PB), pages 167-178.
  32. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2002. "Parametric and Nonparametric Volatility Measurement," NBER Technical Working Papers 0279, National Bureau of Economic Research, Inc.
  33. Rich Lyons & Martin Evans, 2004. "A New Micro Model of Exchange Rate Dynamics," Econometric Society 2004 North American Winter Meetings 622, Econometric Society.
  34. Ben Omrane, Walid & Heinen, Andréas, 2009. "Is there any common knowledge news in the Euro/Dollar market?," International Review of Economics & Finance, Elsevier, Elsevier, vol. 18(4), pages 656-670, October.
  35. Evans, Kevin P., 2011. "Intraday jumps and US macroeconomic news announcements," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2511-2527, October.
  36. Brogaard, Jonathan & Hendershott, Terrence & Riordan, Ryan, 2013. "High frequency trading and price discovery," Working Paper Series, European Central Bank 1602, European Central Bank.
  37. Fatum, Rasmus & Hutchison, Michael & Wu, Thomas, 2012. "Asymmetries and state dependence: The impact of macro surprises on intraday exchange rates," Journal of the Japanese and International Economies, Elsevier, vol. 26(4), pages 542-560.
  38. Mo, Henry & Wu, Liuren, 2007. "International capital asset pricing: Evidence from options," Journal of Empirical Finance, Elsevier, Elsevier, vol. 14(4), pages 465-498, September.
  39. Marlene Amstad & Andreas M. Fischer, 2009. "Monthly pass-through ratios," Globalization and Monetary Policy Institute Working Paper 26, Federal Reserve Bank of Dallas.
  40. David Veredas, 2005. "Macro surprises and short-term behavior in bond futures," ULB Institutional Repository 2013/136194, ULB -- Universite Libre de Bruxelles.
  41. Charles Engel & Kenneth D. West, 2003. "Exchange rates and fundamentals," Proceedings, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco, issue Mar.
  42. Mark, Nelson C., 2005. "Exchange Rate Economics: By Lucio Sarno and Mark P. Taylor, Cambridge University Press, 2003," Journal of International Economics, Elsevier, vol. 65(2), pages 537-540, March.
  43. Evans, Martin D.D., 2005. "Where Are We Now? Real-Time Estimates of the Macro Economy," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5270, C.E.P.R. Discussion Papers.
  44. Brenner, Menachem & Pasquariello, Paolo & Subrahmanyam, Marti, 2009. "On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 44(06), pages 1265-1289, December.
  45. Hautsch, Nikolaus & Hess, Dieter & Veredas, David, 2011. "The impact of macroeconomic news on quote adjustments, noise, and informational volatility," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2733-2746, October.
  46. Kentaro Iwatsubo & Ian W. Marsh, 2011. "Order Flows, Fundamentals and Exchange Rates," Discussion Papers 1120, Graduate School of Economics, Kobe University.
  47. Evans, Kevin & Speight, Alan, 2010. "International macroeconomic announcements and intraday euro exchange rate volatility," Journal of the Japanese and International Economies, Elsevier, vol. 24(4), pages 552-568, December.
  48. GIOT, Pierre & PETITJEAN, Mikael, 2005. "Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2005010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  49. Tang, Yong & Luo, Yong & Xiong, Jie & Zhao, Fei & Zhang, Yi-Cheng, 2013. "Impact of monetary policy changes on the Chinese monetary and stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4435-4449.
  50. GIOT, Pierre & PETITJEAN, Mikael, 2006. "The information content of the Bond-Equity Yield Ratio: better than a random walk?," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2006089, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  51. Fatum, Rasmus & Scholnick, Barry, 2003. "Do Exchange Rates Respond to Day-to-Day Changes in Monetary Policy Expectations? Evidence from the Federal Funds Futures Market," Santa Cruz Center for International Economics, Working Paper Series, Center for International Economics, UC Santa Cruz qt4cc3291n, Center for International Economics, UC Santa Cruz.
  52. Ehrmann, Michael & Eijffinger, Sylvester C. W. & Fratzscher, Marcel, 2009. "The role of central bank transparency for guiding private sector forecasts," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7585, C.E.P.R. Discussion Papers.
  53. Filimonov, Vladimir & Bicchetti, David & Maystre, Nicolas & Sornette, Didier, 2014. "Quantification of the high level of endogeneity and of structural regime shifts in commodity markets," Journal of International Money and Finance, Elsevier, Elsevier, vol. 42(C), pages 174-192.
  54. Allan Zebedee & Eric Bentzen & Peter Hansen & Asger Lunde, 2008. "The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements," Financial Markets and Portfolio Management, Springer, Springer, vol. 22(1), pages 3-20, March.
  55. Ehrmann, Michael & Fratzscher, Marcel, 2005. "Transparency, disclosure and the federal reserve," Working Paper Series, European Central Bank 0457, European Central Bank.
  56. Laakkonen, Helinä, 2007. "Exchange rate volatility, macro announcements and the choice of intraday seasonality filtering method," Research Discussion Papers 23/2007, Bank of Finland.
  57. Ben Omrane, Walid & Heinen, Andréas, 2010. "Public news announcements and quoting activity in the Euro/Dollar foreign exchange market," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 54(11), pages 2419-2431, November.
  58. Balázs Égert & Evžen Kočenda, 2012. "The impact of macro news and central bank communication on emerging European forex markets," EconomiX Working Papers 2012-20, University of Paris West - Nanterre la Défense, EconomiX.
  59. Rasmus Fatum & Jesper Pedersen & Peter Norman Sørensen, 2010. "Are the Intraday Effects of Central Bank Intervention on Exchange Rate Spreads Asymmetric and State Dependent?," Discussion Papers 10-20, University of Copenhagen. Department of Economics.
  60. Torben G. Andersen & Luca Benzoni, 2010. "Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models," Journal of Finance, American Finance Association, American Finance Association, vol. 65(2), pages 603-653, 04.
  61. Paul Hubert, 2013. "The influence and policy signaling role of FOMC forecasts," Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE) 2013-03, Observatoire Francais des Conjonctures Economiques (OFCE).
  62. Martin Evans and David Lyons, 2001. "Time-Varying Liquidity in Foreign Exchange," Working Papers, Georgetown University, Department of Economics gueconwpa~01-01-11, Georgetown University, Department of Economics.
  63. Kathryn M. E. Dominguez & Freyan Panthaki, 2007. "The influence of actual and unrequited interventions," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 12(2), pages 171-200.
  64. Rasmus Fatum & Barry Scholnick, . "Monetary Policy News and Exchange Rate Responses: Do Only Surprises Matter?," EPRU Working Paper Series, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics 05-14, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics, revised Nov 2005.
  65. Christopher J. Neely, 2011. "A survey of announcement effects on foreign exchange volatility and jumps," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 361-385.
  66. Farka, Mira, 2009. "The effect of monetary policy shocks on stock prices accounting for endogeneity and omitted variable biases," Review of Financial Economics, Elsevier, Elsevier, vol. 18(1), pages 47-55, January.
  67. Bauwens, Luc & Ben Omrane, Walid & Giot, Pierre, 2005. "News announcements, market activity and volatility in the euro/dollar foreign exchange market," Journal of International Money and Finance, Elsevier, Elsevier, vol. 24(7), pages 1108-1125, November.
  68. Francesconi, Marco & van der Klaauw, Wilbert, 2004. "The Consequences of ‘In-Work’ Benefit Reform in Britain: New Evidence from Panel Data," IZA Discussion Papers 1248, Institute for the Study of Labor (IZA).
  69. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
  70. Park, Beum-Jo, 2010. "Surprising information, the MDH, and the relationship between volatility and trading volume," Journal of Financial Markets, Elsevier, Elsevier, vol. 13(3), pages 344-366, August.
  71. Balazs Egert, 2009. "The Impact of Monetary and Commodity Fundamentals, Macro News and Central Bank Communication on the Exchange Rate: Evidence from South Africa," William Davidson Institute Working Papers Series wp955, William Davidson Institute at the University of Michigan.
  72. Jansen, David-Jan & de Haan, Jakob, 2007. "Were verbal efforts to support the euro effective? A high-frequency analysis of ECB statements," European Journal of Political Economy, Elsevier, vol. 23(1), pages 245-259, March.
  73. Kathryn M. E. Dominguez, 2003. "When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?," Working Papers, Research Seminar in International Economics, University of Michigan 506, Research Seminar in International Economics, University of Michigan.
  74. Sean D. Campbell & Steven A. Sharpe, 2007. "Anchoring bias in consensus forecasts and its effect on market prices," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2007-12, Board of Governors of the Federal Reserve System (U.S.).
  75. Thomas Schuster, 2003. "News Events and Price Movements. Price Effects of Economic and Non-Economic Publications in the News Media," Finance, EconWPA 0305009, EconWPA.
  76. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines 'News' in Foreign Exchange Markets," Working Papers, Research Seminar in International Economics, University of Michigan 547, Research Seminar in International Economics, University of Michigan.
  77. Corsetti, Giancarlo & Dedola, Luca & Leduc, Sylvain, 2008. "The International Dimension of Productivity and Demand Shocks in the US Economy," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7003, C.E.P.R. Discussion Papers.
  78. Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar, 2012. "Modeling and explaining the dynamics of European Union Allowance prices at high-frequency," Energy Economics, Elsevier, Elsevier, vol. 34(1), pages 316-326.
  79. Shaun K. Roache & Marco Rossi, 2009. "The Effects of Economic Newson Commodity Prices," IMF Working Papers 09/140, International Monetary Fund.
  80. Marcel Fratzscher & Arnaud Mehl, 2009. "Do China and oil exporters influence major currency configurations?," Globalization and Monetary Policy Institute Working Paper 25, Federal Reserve Bank of Dallas.
  81. Jean-Marie Dufour & René García & Abderrahim Taamouti, 2008. "Measuring causality between volatility and returns with high-frequency data," Economics Working Papers we084422, Universidad Carlos III, Departamento de Economía.
  82. Chatrath, Arjun & Miao, Hong & Ramchander, Sanjay & Villupuram, Sriram, 2014. "Currency jumps, cojumps and the role of macro news," Journal of International Money and Finance, Elsevier, Elsevier, vol. 40(C), pages 42-62.
  83. Anne Opschoor & Dick van Dijk & Michel van der Wel, 2013. "Predicting Covariance Matrices with Financial Conditions Indexes," Tinbergen Institute Discussion Papers 13-113/III, Tinbergen Institute.
  84. Mende, Alexander & Menkhoff, Lukas, 2006. "Profits and speculation in intra-day foreign exchange trading," Journal of Financial Markets, Elsevier, Elsevier, vol. 9(3), pages 223-245, August.
  85. Lu, Biao & Wu, Liuren, 2009. "Macroeconomic releases and the interest rate term structure," Journal of Monetary Economics, Elsevier, Elsevier, vol. 56(6), pages 872-884, September.
  86. Altavilla, Carlo & Giannone, Domenico & Modugno, Michele, 2014. "The Low Frequency Effects of Macroeconomic News on Government Bond Yields," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2014-52, Board of Governors of the Federal Reserve System (U.S.).
  87. Halova Wolfe, Marketa & Rosenman, Robert, 2014. "Bidirectional causality in oil and gas markets," Energy Economics, Elsevier, Elsevier, vol. 42(C), pages 325-331.
  88. Yuko Hashimoto & Takatoshi Ito, 2009. "Effects of Japanese Macroeconomic Announcements on the Dollar/Yen Exchange Rate: High-Resolution Picture," NBER Working Papers 15020, National Bureau of Economic Research, Inc.
  89. Parker, John, 2007. "The Impact Of Economic News On Financial Markets," MPRA Paper 2675, University Library of Munich, Germany.
  90. Han, Young Wook, 2008. "Intraday effects of macroeconomic shocks on the US Dollar-Euro exchange rates," Japan and the World Economy, Elsevier, Elsevier, vol. 20(4), pages 585-600, December.
  91. M. Ehrmann & M. Fratzscher, 2003. "Interdependence between the Euro area and the U.S.: what role for EMU?," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
  92. Dagfinn Rime & Lucio Sarno & Elvira Sojli, 2007. "Exchange rate forecasting, order flow and macroeconomic information," Working Paper, Norges Bank 2007/02, Norges Bank.
  93. Good, Darrel L. & Irwin, Scott H. & Isengildina, Olga, 2006. "The Value of USDA Situation and Outlook Information in Hog and Cattle Markets," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, Western Agricultural Economics Association, vol. 31(02), August.
  94. Cuadro Sáez, Lucía & Fratzscher, Marcel & Thimann, Christian, 2007. "The transmission of emerging market shocks to global equity markets," Working Paper Series, European Central Bank 0724, European Central Bank.
  95. Ho, Kin-Yip & Shi, Yanlin & Zhang, Zhaoyong, 2013. "How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 436-456.
  96. Kahn, George A. & Taylor, Lisa, 2014. "Evolving market perceptions of Federal Reserve policy objectives," Economic Review, Federal Reserve Bank of Kansas City, issue Q I, pages 5-64.
  97. Gregory H. Bauer & Clara Vega, 2006. "The monetary origins of asymmetric information in international equity markets," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 872, Board of Governors of the Federal Reserve System (U.S.).
  98. Gau, Yin-Feng, 2005. "Intraday volatility in the Taipei FX market," Pacific-Basin Finance Journal, Elsevier, Elsevier, vol. 13(4), pages 471-487, September.
  99. Lukas Burkhard & Andreas M. Fischer, 2007. "Communicating Policy Options at the Zero Bound," Working Papers 2007-12, Swiss National Bank.
  100. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold, 2005. "Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," NBER Working Papers 11775, National Bureau of Economic Research, Inc.
  101. Hess, Dieter E., 2003. "Determinants of the relative price impact of unanticipated information in US macroeconomic releases," Frankfurt School - Working Paper Series 46, Frankfurt School of Finance and Management.
  102. Chris D'Souza, 2007. "Where Does Price Discovery Occur in FX Markets?," Working Papers, Bank of Canada 07-52, Bank of Canada.
  103. Helena, BELTRAN & Alain, DURRE & Pierre, GIOT, 2004. "Volatility regimes and the provisions of liquidity in order book markets," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques 2005015, Université catholique de Louvain, Département des Sciences Economiques.
  104. Victor Fang & Chien-Ting Lin & Kunaal Parbhoo, 2008. "Macroeconomic News, Business Cycles and Australian Financial Markets," Asia-Pacific Financial Markets, Springer, Springer, vol. 15(3), pages 185-207, December.
  105. Alessandro Beber & Michael W. Brandt & Maurizio Luisi, 2013. "Distilling the Macroeconomic News Flow," NBER Working Papers 19650, National Bureau of Economic Research, Inc.
  106. Alain P. Chaboud & Sergey Chernenko & Edward Howorka & Raj S. Krishnasami Iyer & David Liu & Jonathan H. Wright, 2004. "The high-frequency effects of U.S. macroeconomic data releases on prices and trading activity in the global interdealer foreign exchange market," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 823, Board of Governors of the Federal Reserve System (U.S.).
  107. Seungmoon Choi, 2011. "Closed-Form Likelihood Expansions for Multivariate Time-Inhomogeneous Diffusions," School of Economics Working Papers 2011-26, University of Adelaide, School of Economics.
  108. Nowak, Sylwia & Andritzky, Jochen & Jobst, Andreas & Tamirisa, Natalia, 2011. "Macroeconomic fundamentals, price discovery, and volatility dynamics in emerging bond markets," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2584-2597, October.
  109. Roberto Rigobon & Anna Pavlova, 2004. "Asset Prices and Exchange Rates," Econometric Society 2004 North American Winter Meetings 579, Econometric Society.
  110. Ehrmann, Michael & Osbat, Chiara & Stráský, Jan & Uusküla, Lenno, 2013. "The euro exchange rate during the European sovereign debt crisis - dancing to its own tune?," Working Paper Series, European Central Bank 1532, European Central Bank.
  111. Sam Nasypbek & Scheherazade S Rehman, 2011. "Explaining the returns of active currency managers," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 211-256 Bank for International Settlements.
  112. Liebermann, Joelle, 2011. "The Impact of Macroeconomic News on Bond Yields: (In)Stabilities over Time and Relative Importance," Research Technical Papers 7/RT/11, Central Bank of Ireland.
  113. Pearce, Douglas K. & Solakoglu, M. Nihat, 2007. "Macroeconomic news and exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 17(4), pages 307-325, October.
  114. Torben G. Andersen & Tim Bollerslev & Per Frederiksen & Morten �rregaard Nielsen, 2010. "Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 25(2), pages 233-261.
  115. Alain P. Chaboud & Sergey V. Chernenko & Jonathan H. Wright, 2007. "Trading activity and exchange rates in high-frequency EBS data," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 903, Board of Governors of the Federal Reserve System (U.S.).
  116. Bollerslev, Tim & Todorov, Viktor & Li, Sophia Zhengzi, 2013. "Jump tails, extreme dependencies, and the distribution of stock returns," Journal of Econometrics, Elsevier, Elsevier, vol. 172(2), pages 307-324.
  117. Martin D. D. Evans (Georgetown University), 2005. "Foreign Exchange Market Microstructure," Working Papers, Georgetown University, Department of Economics gueconwpa~05-05-20, Georgetown University, Department of Economics.
  118. Michael B. Devereux & Charles Engel, 2007. "Expectations and Exchange Rate Policy," Working Papers 062007, Hong Kong Institute for Monetary Research.
  119. Marcel Fratzscher, 2008. "US shocks and global exchange rate configurations," Economic Policy, CEPR;CES;MSH, CEPR;CES;MSH, vol. 23, pages 363-409, 04.
  120. Marcel Fratzscher & Daniel Schneider & Ine Van Robays, 2013. "Oil Prices, Exchange Rates and Asset Prices," Discussion Papers of DIW Berlin 1302, DIW Berlin, German Institute for Economic Research.
  121. Refet S. Gürkaynak & Andrew T. Levin & Andrew N. Marder & Eric T. Swanson, 2006. "Inflation Targeting and the Anchoring of Inflation Expectations in The Western Hemisphere," Working Papers Central Bank of Chile, Central Bank of Chile 400, Central Bank of Chile.
  122. Evans, Kevin P. & Speight, Alan E.H., 2010. "Dynamic news effects in high frequency Euro exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 20(3), pages 238-258, July.
  123. Le Pen, Yannick & Sévi, Benoît, 2009. "News and correlations: an impulse response analysis," Economics Papers from University Paris Dauphine 123456789/6804, Paris Dauphine University.
  124. David Berger & Alain Chaboud & Erik Hjalmarsson & Edward Howorka, 2006. "What drives volatility persistence in the foreign exchange market?," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 862, Board of Governors of the Federal Reserve System (U.S.).
  125. Alessandro Beber & Michael W. Brandt, 2006. "Resolving Macroeconomic Uncertainty in Stock and Bond Markets," NBER Working Papers 12270, National Bureau of Economic Research, Inc.
  126. Fischer, Andreas M. & Isakova, Gulzina & Termechikov, Ulanbek, 2009. "Do FX traders in Bishkek have similar perceptions to their London colleagues?: Survey evidence of market practitioners' views," Journal of Asian Economics, Elsevier, vol. 20(2), pages 98-109, March.
  127. Ivrendi, Mehmet & Yildirim, Zekeriya, 2013. "Monetary policy shocks and macroeconomic variables: Evidence from fast growing emerging economies," Economics Discussion Papers 2013-61, Kiel Institute for the World Economy.
  128. Beechey, Meredith J. & Wright, Jonathan H., 2009. "The high-frequency impact of news on long-term yields and forward rates: Is it real?," Journal of Monetary Economics, Elsevier, Elsevier, vol. 56(4), pages 535-544, May.
  129. Patton, Andrew J & Timmermann, Allan G, 2007. "Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6526, C.E.P.R. Discussion Papers.
  130. George Tauchen & Hao Zhou, 2006. "Realized jumps on financial markets and predicting credit spreads," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2006-35, Board of Governors of the Federal Reserve System (U.S.).
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