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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. Luc, BAUWENS & Walid, BEN OMRANE & Erick, Rengifo, 2006. "Intra-Daily FX Optimal Portfolio Allocation," Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques 2006005, Université catholique de Louvain, Département des Sciences Economiques.
  2. Kathryn M.E. Dominguez & Freyan Panthaki, 2007. "The Influence of Actual and Unrequited Interventions," NBER Working Papers 12953, National Bureau of Economic Research, Inc.
  3. Frömmel, Michael & Mende, Alexander & Menkhoff, Lukas, 2008. "Order flows, news, and exchange rate volatility," Journal of International Money and Finance, Elsevier, Elsevier, vol. 27(6), pages 994-1012, October.
  4. 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, Elsevier, vol. 30(4), pages 692-707, June.
  5. Simonsen, Ola, 2006. "The Impact of News Releases on Trade Durations in Stocks -Empirical Evidence from Sweden," Umeå Economic Studies 688, Umeå University, Department of Economics.
  6. Bauwens, Luc & Ben Omrane, Walid & Rengifo, Erick, 2010. "Intradaily dynamic portfolio selection," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 54(11), pages 2400-2418, November.
  7. Luc Bauwens & Dagfinn Rime & Genaro Sucarrat, 2006. "Exchange rate volatility and the mixture of distribution hypothesis," Empirical Economics, Springer, Springer, vol. 30(4), pages 889-911, January.
  8. 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., John Wiley & Sons, Ltd., vol. 15(3), pages 228-246.
  9. BEN OMRANE, Walid & HEINEN, Andréas, 2003. "The response of individual FX dealers'quoting activity to macroeconomic news announcements," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2003070, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  10. 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.
  11. 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.
  12. 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, Federal Reserve Bank of Dallas 49, Federal Reserve Bank of Dallas.
  13. Laakkonen, Helinä, 2007. "Exchange rate volatility, macro announcements and the choice of intraday seasonality filtering method," Research Discussion Papers, Bank of Finland 23/2007, Bank of Finland.
  14. 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, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics 2009-01, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics, revised Jan 2009.
  15. 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.
  16. 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, Econometric Research Association, vol. 1(1), pages 50-62, April.
  17. 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, Elsevier, vol. 24(1), pages 82-101, January.
  18. David-Jan Jansen & Jakob de Haan, 2005. "Were Verbal Efforts to Support the Euro Effective? A High-Frequency Analysis of ECB Statements," DNB Working Papers, Netherlands Central Bank, Research Department 033, Netherlands Central Bank, Research Department.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines "News" in Foreign Exchange Markets?," NBER Working Papers 11769, National Bureau of Economic Research, Inc.
  24. Michael Frömmel & Norbert Kiss M. & Klára Pintér, 2009. "Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market," MNB Working Papers, Magyar Nemzeti Bank (the central bank of Hungary) 2009/3, Magyar Nemzeti Bank (the central bank of Hungary).
  25. 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.
  26. Yuliya Lovcha & Alejandro Perez-Laborda, 2010. "Is exchange rate – customer order flow relationship linear? Evidence from the Hungarian FX market," MNB Working Papers, Magyar Nemzeti Bank (the central bank of Hungary) 2010/10, Magyar Nemzeti Bank (the central bank of Hungary).
  27. Aymen Belgacem & Anna Creti & Khaled Guesmi & Amine Lahiani, 2014. "Volatility spillovers and macroeconomic announcements evidence from crude oil markets," Working Papers, Department of Research, Ipag Business School 2014-050, Department of Research, Ipag Business School.
  28. 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.
  29. 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, Boston College Department of Economics 834, Boston College Department of Economics, revised 28 Feb 2014.
  30. Chen, Yu-Lun & Gau, Yin-Feng, 2010. "News announcements and price discovery in foreign exchange spot and futures markets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(7), pages 1628-1636, July.
  31. 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.
  32. Javier De Peña & Luis A. Gil-Alana, 2003. "Testing of Nonstationary Cycles in Financial Time Series Data," Faculty Working Papers, School of Economics and Business Administration, University of Navarra 15/03, School of Economics and Business Administration, University of Navarra.
  33. Mougoué, Mbodja & Aggarwal, Raj, 2011. "Trading volume and exchange rate volatility: Evidence for the sequential arrival of information hypothesis," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(10), pages 2690-2703, October.
  34. BELTRAN, Helena & DURRE, Alain & GIOT, Pierre, . "Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -2132, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  35. 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.
  36. 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, Elsevier, vol. 22(2), pages 193-207, June.
  37. Christopher J. Neely & Brett W. Fawley, 2011. "Capital flows and Japanese asset volatility," Working Papers, Federal Reserve Bank of St. Louis 2011-034, Federal Reserve Bank of St. Louis.
  38. BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  39. Ben Omrane, Walid & de Bodt, Eric, 2007. "Using self-organizing maps to adjust for intra-day seasonality," Journal of Banking & Finance, Elsevier, Elsevier, vol. 31(6), pages 1817-1838, June.
  40. 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.
  41. Simonsen, Ola, 2006. "Stock Data, Trade Durations, And Limit Order Book Information," Umeå Economic Studies 689, Umeå University, Department of Economics.
  42. 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, Elsevier, vol. 35(10), pages 2584-2597, October.
  43. 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.
  44. 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.