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Citations for "News announcements, market activity and volatility in the euro/dollar foreign exchange market"

by BAUWENS, Luc & BEN OMRANE, Walid & GIOT, Pierre

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  1. 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.
  2. 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.
  3. Aymen Belgacem & Amine Lahiani, 2012. "More on the impact of US macroeconomic announcements: Evidence from French and German stock markets' volatility," Economics Bulletin, AccessEcon, vol. 32(2), pages 1509-1526.
  4. Rasmus Fatum & Michael Hutchison & Thomas Wu, 2010. "Asymmetries and state dependence: the impact of macro surprises on intraday exchange rates," Globalization and Monetary Policy Institute Working Paper 49, Federal Reserve Bank of Dallas.
  5. Laakkonen, Helinä & Lanne, Markku, 2009. "The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility," MPRA Paper 23718, University Library of Munich, Germany.
  6. Luc, BAUWENS & Dagfinn, RIME & Genaro, SUCARRAT, 2005. "Exchange Rate Volatility and the Mixture of Distribution Hypothesis," Discussion Papers (ECON - Département des Sciences Economiques) 2005043, Université catholique de Louvain, Département des Sciences Economiques.
  7. BAUWENS, Luc & BEN OMRANE, Walid & RENGIFO, Erick, 2006. "Intra-daily FX optimal portfolio allocation," CORE Discussion Papers 2006010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  8. Simonsen, Ola, 2006. "Stock Data, Trade Durations, And Limit Order Book Information," UmeÃ¥ Economic Studies 689, Umeå University, Department of Economics.
  9. Kathryn M.E. Dominguez, 2003. "When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?," NBER Working Papers 9875, National Bureau of Economic Research, Inc.
  10. Frömmel, Michael & Mende, Alexander & Menkhoff, Lukas, 2008. "Order flows, news, and exchange rate volatility," Journal of International Money and Finance, Elsevier, vol. 27(6), pages 994-1012, October.
  11. Lovcha, Yuliya & Perez-Laborda, Alejandro, 2013. "Is exchange rate – Customer order flow relationship linear? Evidence from the Hungarian FX market," Journal of International Money and Finance, Elsevier, vol. 35(C), pages 20-35.
  12. 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.
  13. Sun, Edward W. & Rezania, Omid & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "Analysis of the intraday effects of economic releases on the currency market," Journal of International Money and Finance, Elsevier, vol. 30(4), pages 692-707, June.
  14. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines 'News' in Foreign Exchange Markets," Working Papers 547, Research Seminar in International Economics, University of Michigan.
  15. Aymen Belgacem & Anna Creti & Khaled Guesmi & Amine Lahiani, 2014. "Volatility spillovers and macroeconomic announcements evidence from crude oil markets," Working Papers 2014-050, Department of Research, Ipag Business School.
  16. BELTRAN, Helena & DURRE, Alain & GIOT, Pierre, 2005. "Volatility regimes and the provision of liquidity in order book markets," CORE Discussion Papers 2005012, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  17. Michael R. King & Carol Osler & Dagfinn Rime, 2013. "The market microstructure approach to foreign exchange - Looking back and looking forward," Working Paper 2013/12, Norges Bank.
  18. Ben Omrane, Walid & de Bodt, Eric, 2007. "Using self-organizing maps to adjust for intra-day seasonality," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1817-1838, June.
  19. Laakkonen, Helinä, 2007. "Exchange rate volatility, macro announcements and the choice of intraday seasonality filtering method," Research Discussion Papers 23/2007, Bank of Finland.
  20. Evans, Kevin P. & Speight, Alan E.H., 2010. "Intraday periodicity, calendar and announcement effects in Euro exchange rate volatility," Research in International Business and Finance, Elsevier, vol. 24(1), pages 82-101, January.
  21. Kate Phylaktis & Long Chen, 2010. "Asymmetric information, price discovery and macroeconomic announcements in FX market: do top trading banks know more?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(3), pages 228-246.
  22. Ben Omrane, Walid & Heinen, Andréas, 2010. "Public news announcements and quoting activity in the Euro/Dollar foreign exchange market," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2419-2431, November.
  23. Mougoué, Mbodja & Aggarwal, Raj, 2011. "Trading volume and exchange rate volatility: Evidence for the sequential arrival of information hypothesis," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2690-2703, October.
  24. Christopher J. Neely & Brett W. Fawley, 2012. "Capital Flows And Japanese Asset Volatility," Pacific Economic Review, Wiley Blackwell, vol. 17(3), pages 391-414, 08.
  25. 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.
  26. BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," CORE Discussion Papers 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  27. 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.
  28. Beltran, Helena & Durré, Alain & Giot, Pierre, 2009. "Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext," Global Finance Journal, Elsevier, vol. 20(1), pages 80-97.
  29. Rasmus Fatum & Michael Hutchison & Thomas Wu, 2008. "Do Both U.S. and Foreign Macro Surprises Matter for the Intraday Exchange Rate? Evidence from Japan," EPRU Working Paper Series 2009-01, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics, revised Jan 2009.
  30. Bauwens, Luc & Ben Omrane, Walid & Rengifo, Erick, 2010. "Intradaily dynamic portfolio selection," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2400-2418, November.
  31. F. DePenya & L. Gil-Alana, 2006. "Testing of nonstationary cycles in financial time series data," Review of Quantitative Finance and Accounting, Springer, vol. 27(1), pages 47-65, August.
  32. Simonsen, Ola, 2006. "The Impact of News Releases on Trade Durations in Stocks -Empirical Evidence from Sweden," UmeÃ¥ Economic Studies 688, Umeå University, Department of Economics.
  33. Barbara Bedowska-Sojka, 2011. "The Impact of Macro News on Volatility of Stock Exchanges," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 11, pages 99-110.
  34. Madhuri Malhotra & M Thenmozhi & Arun Kumar Gopalaswamy, 2012. "Evidence on Changes in Time Varying Volatility around Bonus and Rights Issue Announcements," Working Papers id:4728, eSocialSciences.
  35. Olivier Damette, 2013. "Mixture distribution hypothesis and the impact of a Tobin tax on exhange rate volatility : a reassessment," Working Papers of BETA 2013-07, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
  36. Michael Frömmel & Norbert Kiss M. & Klára Pintér, 2011. "Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 16(2), pages 172-188, 04.
  37. Ben Omrane, Walid & Heinen, Andréas, 2009. "Is there any common knowledge news in the Euro/Dollar market?," International Review of Economics & Finance, Elsevier, vol. 18(4), pages 656-670, October.
  38. Christopher F Baum & Marketa W. Halova & Alexander Kurov, 2013. "Does Regular Economic News from Emerging Countries Move Markets? Evidence from Chinese Macro Announcements," Boston College Working Papers in Economics 834, Boston College Department of Economics, revised 28 Feb 2014.
  39. 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, vol. 20(3), pages 238-258, July.
  40. Walid Ben Omrane & Christian M. Hafner, 2009. "Information Spillover, Volatility and the Currency Markets for the Binary Choice Model," International Econometric Review (IER), Econometric Research Association, vol. 1(1), pages 50-62, April.
  41. BEN OMRANE, Walid & HEINEN, Andréas, 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).
  42. Laakkonen Helinä & Lanne Markku, 2009. "Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(1), pages 1-38, December.
  43. Wan, Jer-Yuh & Kao, Chung-Wei, 2008. "The euro and pound volatility dynamics: An investigation from conditional jump process," Research in International Business and Finance, Elsevier, vol. 22(2), pages 193-207, June.
  44. Chen, Yu-Lun & Gau, Yin-Feng, 2010. "News announcements and price discovery in foreign exchange spot and futures markets," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1628-1636, July.