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Citations for "Jumps, cojumps and macro announcements"

by LAHAYE, Jérôme & LAURENT, Sébastien & NEELY, Christopher J.

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  1. Jan Hanousek & Evzen Kocenda & Jan Novotny, 2011. "The Identification of Price Jumps," CERGE-EI Working Papers wp434, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
  2. Imane El Ouadghiri & Valerie Mignon & Nicolas Boitout, 2014. "On the impact of macroeconomic news surprises on Treasury-bond yields," EconomiX Working Papers 2014-20, University of Paris West - Nanterre la Défense, EconomiX.
  3. Mardi Dungey & Michael McKenzie & Vanessa Smith, 2007. "Empirical Evidence On Jumps In The Term Structure Of The Us Treasury Market," CAMA Working Papers 2007-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  4. Égert, Balázs & Kočenda, Evžen, 2014. "The impact of macro news and central bank communication on emerging European forex markets," Economic Systems, Elsevier, vol. 38(1), pages 73-88.
  5. Hynek Lavicka & Tomas Lichard & Jan Novotny, 2014. "Sand in the Wheels or Wheels in the Sand? Tobin Taxes and Market Crashes," CERGE-EI Working Papers wp511, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
  6. Dungey, Mardi & Henry, Olan T & Hvodzdyk, Lyudmyla, 2013. "The impact of jumps and thin trading on realized hedge ratios," Working Papers 2013-02, University of Tasmania, School of Economics and Finance, revised 28 Mar 2013.
  7. Barbara Będowska-Sójka, 2010. "Intraday CAC40, DAX and WIG20 returns when the American macro news is announced," Bank i Kredyt, National Bank of Poland, Economic Institute, vol. 41(2), pages 7-20.
  8. Winkelmann, Lars & Bibinger, Markus & Linzert, Tobias, 2013. "ECB monetary policy surprises: identification through cojumps in interest rates," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79721, Verein für Socialpolitik / German Economic Association.
  9. Chevallier, Julien & Ielpo, Florian & Sévi, Benoît, 2011. "Do jumps help in forecasting the density of returns?," Economics Papers from University Paris Dauphine 123456789/6805, Paris Dauphine University.
  10. Boudt, Kris & Petitjean, Mikael, 2014. "Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks," Journal of Financial Markets, Elsevier, vol. 17(C), pages 121-149.
  11. Jan Novotny, 2010. "Price Jumps in Visegrad Country Stock Markets: An Empirical Analysis," CERGE-EI Working Papers wp412, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
  12. Fricke, Christoph, 2012. "Expected and unexpected bond excess returns: Macroeconomic and market microstructure effects," Hannover Economic Papers (HEP) dp-493, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  13. 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.
  14. Markus Bibinger & Lars Winkelmann, 2013. "Econometrics of co-jumps in high-frequency data with noise," SFB 649 Discussion Papers SFB649DP2013-021, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  15. Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2012. "Econometric modeling of exchange rate volatility and jumps," Working Papers 2012-008, Federal Reserve Bank of St. Louis.
  16. Mardi Dungey & Matteo Luciani & David Veredas, 2012. "Ranking Systemically Important Financial Institutions," Tinbergen Institute Discussion Papers 12-115/IV/DSF44, Tinbergen Institute.
  17. GIOT, Pierre & LAURENT, Sébastien & PETITJEAN, Mikael, . "Trading activity, realized volatility and jumps," CORE Discussion Papers RP -2223, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  18. Deniz Erdemlioglu & Sébastien Laurent & Christopher J. Neely, 2013. "Which continuous-time model is most appropriate for exchange rates?," Working Papers 2013-024, Federal Reserve Bank of St. Louis.
  19. 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, vol. 40(C), pages 42-62.
  20. repec:qut:auncer:2013_03 is not listed on IDEAS
  21. Dungey, Mardi & Hvozdyk, Lyudmyla, 2012. "Cojumping: Evidence from the US Treasury bond and futures markets," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1563-1575.
  22. Giacomo Bormetti & Lucio Maria Calcagnile & Michele Treccani & Fulvio Corsi & Stefano Marmi & Fabrizio Lillo, 2013. "Modelling systemic price cojumps with Hawkes factor models," Papers 1301.6141, arXiv.org, revised Mar 2013.
  23. Mardi Dungey & Matteo Luciani & David Veredas, 2012. "Ranking Systemically Important Financial Institutions," CAMA Working Papers 2012-47, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  24. Jan Novotny, 2010. "Were Stocks during the Financial Crisis More Jumpy: A Comparative Study," CERGE-EI Working Papers wp416, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
  25. Hutchison, Michael & Sushko, Vladyslav, 2013. "Impact of macro-economic surprises on carry trade activity," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1133-1147.
  26. Adam Clements & Yin Liao, 2013. "The dynamics of co-jumps, volatility and correlation," NCER Working Paper Series 91, National Centre for Econometric Research.
  27. Jan Hanousek & Evzen Kocenda & Jan Novotny, 2014. "Price jumps on European stock markets," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 14(1), pages 10-22, March.
  28. Dungey, Mardi & Hvozdyk, Lyudmyla, 2010. "Cojumping: Evidence from the US Treasury Bond and Future Markets (Discussion Paper 2010-06)," Working Papers 10450, University of Tasmania, School of Economics and Finance, revised 14 Jul 2010.
  29. Michel Beine & Bertrand Candelon & Jan Piplack, 2009. "Comovements of returns and volatility in international stock markets: a high-frequency approach," Working Papers 09-10, Utrecht School of Economics.
  30. Gilder, Dudley & Shackleton, Mark B. & Taylor, Stephen J., 2014. "Cojumps in stock prices: Empirical evidence," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 443-459.
  31. Jean-Yves Gnabo & Jér�me Lahaye & Sébastien Laurent & Christelle Lecourt, 2012. "Do jumps mislead the FX market?," Quantitative Finance, Taylor & Francis Journals, vol. 12(10), pages 1521-1532, October.
  32. Adam Clements & Yin Liao, 2014. "The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index," NCER Working Paper Series 101, National Centre for Econometric Research.
  33. George J. Jiang & Ingrid Lo & Adrien Verdelhan, 2008. "Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market," Working Papers 08-22, Bank of Canada.
  34. Christopher J. Neely & S. Rubun Dey, 2010. "A survey of announcement effects on foreign exchange returns," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 417-464.
  35. Bruce Mizrach & Christopher J. Neely, 2007. "The microstructure of the U.S. treasury market," Working Papers 2007-052, Federal Reserve Bank of St. Louis.
  36. Alexeev, Vitali & Dungey, Mardi, 2013. "Equity portfolio diversification with high frequency data," Working Papers 2013-18, University of Tasmania, School of Economics and Finance, revised 01 Nov 2013.
  37. Dewachter, Hans & Erdemlioglu, Deniz & Gnabo, Jean-Yves & Lecourt, Christelle, 2014. "The intra-day impact of communication on euro-dollar volatility and jumps," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 131-154.
  38. Lars winkelmann & Markus Bibinger & Tobias Linzert, 2013. "ECB monetary policy surprises: identification through cojumps in interest rates," SFB 649 Discussion Papers SFB649DP2013-038, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  39. Osler, Carol & Savaser, Tanseli, 2011. "Extreme returns: The case of currencies," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2868-2880, November.