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Citations for "Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets"

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

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  1. 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.
  2. Ehrmann, Michael & Fratzscher, Marcel & Gürkaynak, Refet S. & Swanson, Eric, 2007. "Convergence and anchoring of yield curves in the euro area," Working Paper Series, European Central Bank 0817, European Central Bank.
  3. 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.
  4. Ghent, Andra, 2007. "Why do markets react badly to good news? Evidence from Fed Funds Futures," MPRA Paper 1708, University Library of Munich, Germany.
  5. Aron Drew & Özer Karagedikli, 2007. "Some Benefits of Monetary-Policy Transparency in New Zealand," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, Charles University Prague, Faculty of Social Sciences, vol. 57(11-12), pages 521-539, December.
  6. Christian Gourieroux & Alain Monfort & Razvan Sufana, 2005. "International Money and Stock Market Contingent Claims," Working Papers, Centre de Recherche en Economie et Statistique 2005-41, Centre de Recherche en Economie et Statistique.
  7. Neil Shephard & Torben G. Andersen, 2008. "Stochastic Volatility: Origins and Overview," Economics Series Working Papers, University of Oxford, Department of Economics 389, University of Oxford, Department of Economics.
  8. Reint Gropp & Arjan Kadareja, 2012. "Stale Information, Shocks, and Volatility," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 44(6), pages 1117-1149, 09.
  9. 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, De Gruyter, vol. 14(1), pages 1-38, December.
  10. Dominique Guegan & Florian Ielpo, 2007. "Further evidence on the impact of economic news on interest rates," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL halshs-00188331, HAL.
  11. Laakkonen , Helinä, 2004. "The impact of macroeconomic news on exchange rate volatility," Research Discussion Papers, Bank of Finland 24/2004, Bank of Finland.
  12. Bent Jesper Christensen & Morten Ørregaard Nielsen, 2005. "The Implied-Realized Volatility Relation with Jumps in Underlying Asset Prices," Working Papers, Queen's University, Department of Economics 1186, Queen's University, Department of Economics.
  13. Guidolin, Massimo & Timmermann, Allan, 2007. "Asset allocation under multivariate regime switching," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 31(11), pages 3503-3544, November.
  14. Andersen, Torben G. & Bollerslev, Tim & Huang, Xin, 2011. "A reduced form framework for modeling volatility of speculative prices based on realized variation measures," Journal of Econometrics, Elsevier, Elsevier, vol. 160(1), pages 176-189, January.
  15. Hanno Lustig & Stijn Van Nieuwerburgh, 2008. "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 21(5), pages 2097-2137, September.
  16. Francis X. Diebold & Kamil Yilmaz, 2008. "Macroeconomic Volatility and Stock Market Volatility, Worldwide," NBER Working Papers 14269, National Bureau of Economic Research, Inc.
  17. Tim Bollerslev & Tzuo Hann Law & George Tauchen, 2007. "Risk, Jumps, and Diversification," CREATES Research Papers 2007-19, School of Economics and Management, University of Aarhus.
  18. Oikarinen, Elias, 2006. "Price Linkages between Stock, Bond and Housing Markets - Evidence from Finnish Data," Discussion Papers, The Research Institute of the Finnish Economy 1004, The Research Institute of the Finnish Economy.
  19. 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.
  20. Marcel Fratzscher, 2011. "Capital Flows, Push versus Pull Factors and the Global Financial Crisis," NBER Working Papers 17357, National Bureau of Economic Research, Inc.
  21. Michael Ehrmann & Marcel Fratzscher, 2009. "Global Financial Transmission of Monetary Policy Shocks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 71(6), pages 739-759, December.
  22. Massimo Guidolin & Allan Timmerman, 2005. "An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns," Working Papers, Federal Reserve Bank of St. Louis 2005-003, Federal Reserve Bank of St. Louis.
  23. Nicolau, Mihaela, 2010. "Financial Markets Interactions between Economic Theory and Practice," MPRA Paper 27322, University Library of Munich, Germany.
  24. Patrice Robitaille & Jennifer E. Roush, 2006. "How do FOMC actions and U.S. macroeconomic data announcements move Brazilian sovereign yield spreads and stock prices?," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 868, Board of Governors of the Federal Reserve System (U.S.).
  25. repec:cbi:wpaper:10/rt/05 is not listed on IDEAS
  26. Tauchen, George & Zhou, Hao, 2011. "Realized jumps on financial markets and predicting credit spreads," Journal of Econometrics, Elsevier, Elsevier, vol. 160(1), pages 102-118, January.
  27. Magnus Andersson & Lars Jul Overby & Szabolcs Sebestyén, 2009. "Which News Moves the Euro Area Bond Market?," German Economic Review, Verein für Socialpolitik, Verein für Socialpolitik, vol. 10, pages 1-31, 02.
  28. Erenburg, Grigori & Kurov, Alexander & Lasser, Dennis J., 2006. "Trading around macroeconomic announcements: Are all traders created equal?," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 15(4), pages 470-493, October.
  29. Alenka Kavkler & Mejra Festić, 2011. "Modelling Stock Exchange Index Returns in Different GDP Growth Regimes," Prague Economic Papers, University of Economics, Prague, University of Economics, Prague, vol. 2011(1), pages 3-22.
  30. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," NBER Working Papers 11069, National Bureau of Economic Research, Inc.
  31. Tanseli Savaser, 2007. "Exchange Rate Response to Macro News: Through the Lens of Microstructure," Department of Economics Working Papers, Department of Economics, Williams College 2007-02, Department of Economics, Williams College.
  32. Alessandro Beber & Michael W. Brandt, 2009. "Resolving Macroeconomic Uncertainty in Stock and Bond Markets," Review of Finance, European Finance Association, European Finance Association, vol. 13(1), pages 1-45.
  33. Bruce Mizrach & Christopher J. Neely, 2007. "The microstructure of the U.S. treasury market," Working Papers, Federal Reserve Bank of St. Louis 2007-052, Federal Reserve Bank of St. Louis.
  34. Calvet, Laurent E. & Fisher, Adlai J., 2007. "Multifrequency news and stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 86(1), pages 178-212, October.
  35. Joshua Hausman & Jon Wongswan, 2006. "Global asset prices and FOMC announcements," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 886, Board of Governors of the Federal Reserve System (U.S.).
  36. Enzo Weber, 2007. "Volatility and Causality in Asia Pacific Financial Markets," SFB 649 Discussion Papers SFB649DP2007-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  37. Guo, Hui & Savickas, Robert, 2008. "Forecasting foreign exchange rates using idiosyncratic volatility," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(7), pages 1322-1332, July.
  38. Torben G. Andersen & Luca Benzoni, 2006. "Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models," Working Paper Series, Federal Reserve Bank of Chicago WP-06-15, Federal Reserve Bank of Chicago.
  39. Don Bredin & Stuart Hyde & Dirk Nitzsche & Gerard O'Reilly, 2009. "European monetary policy surprises: the aggregate and sectoral stock market response," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 14(2), pages 156-171.
  40. Jon Faust & John H. Rogers & Shing-Yi B. Wang & Jonathan H. Wright, 2003. "The high-frequency response of exchange rates and interest rates to macroeconomic announcements," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 784, Board of Governors of the Federal Reserve System (U.S.).
  41. Özer Karagedikli & Pierre L. Siklos, 2008. "Explaining Movements in the NZ Dollar - Central Bank Communication and the Surprise Element in Monetary Policy?," Reserve Bank of New Zealand Discussion Paper Series DP2008/02, Reserve Bank of New Zealand.
  42. 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.).
  43. P. Siklos, M. Bohl, 2006. "Policy Words and Policy Deeds: The ECB and the Euro," Working Papers, Wilfrid Laurier University, Department of Economics eg0050, Wilfrid Laurier University, Department of Economics, revised 2006.
  44. Lindner Axel, 2009. "Evaluating Communication Strategies for Public Agencies: Transparency, Opacity, and Secrecy," The B.E. Journal of Macroeconomics, De Gruyter, De Gruyter, vol. 9(1), pages 1-18, July.
  45. 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.
  46. Tuysuz, Sukriye, 2007. "The asymmetric impact of macroeconomic announcements on U.S. Government bond rate level and volatility," MPRA Paper 5381, University Library of Munich, Germany.
  47. Troy Davig & Jeffrey R. Gerlach, 2006. "Monetary Policy, the Bond Market, and Changes in FOMC Communication Policy," Working Papers, Department of Economics, College of William and Mary 31, Department of Economics, College of William and Mary.
  48. Bruce Mizrach & Christopher J. Neely, 2007. "Information shares in the U.S. treasury market," Working Papers, Federal Reserve Bank of St. Louis 2005-070, Federal Reserve Bank of St. Louis.
  49. Busch, Thomas & Christensen, Bent Jesper & Nielsen, Morten Ørregaard, 2011. "The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets," Journal of Econometrics, Elsevier, Elsevier, vol. 160(1), pages 48-57, January.
  50. Christopher J. Neely, 2011. "A survey of announcement effects on foreign exchange volatility and jumps," Review, Federal Reserve Bank of St. Louis, Federal Reserve Bank of St. Louis, issue Sep, pages 361-385.
  51. Aslanidis, Nektarios & Christiansen, Charlotte, 2011. "Quantiles of the Realized Stock-Bond Correlation," Working Papers, Universitat Rovira i Virgili, Department of Economics 2072/151809, Universitat Rovira i Virgili, Department of Economics.
  52. Wongswan, Jon, 2009. "The response of global equity indexes to U.S. monetary policy announcements," Journal of International Money and Finance, Elsevier, Elsevier, vol. 28(2), pages 344-365, March.
  53. Özatay, Fatih & Özmen, Erdal & Sahinbeyoglu, Gülbin, 2009. "Emerging market sovereign spreads, global financial conditions and U.S. macroeconomic news," Economic Modelling, Elsevier, Elsevier, vol. 26(2), pages 526-531, March.
  54. Albuquerque, Rui & Bauer, Gregor H & Schneider, Martin, 2006. "Global Private Information in International Equity Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5819, C.E.P.R. Discussion Papers.
  55. Robert F. Engle & Jose Gonzalo Rangel, 2005. "The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes," Working Papers, Czech National Bank, Research Department 2005/13, Czech National Bank, Research Department.
  56. Andersen, Torben G. & Bollerslev, Tim & Dobrev, Dobrislav, 2007. "No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications," Journal of Econometrics, Elsevier, Elsevier, vol. 138(1), pages 125-180, May.
  57. George J. Jiang & Ingrid Lo & Adrien Verdelhan, 2008. "Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market," Working Papers, Bank of Canada 08-22, Bank of Canada.
  58. Alexandr Cerny, 2004. "Stock market integration and the speed of information transmission," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economic Institute, Prague wp242, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
  59. Alessandro Beber & Michael W. Brandt, 2003. "The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market," NBER Working Papers 9914, National Bureau of Economic Research, Inc.
  60. Jon Faust & Jonathan H. Wright, 2008. "Efficient Prediction of Excess Returns," NBER Working Papers 14169, National Bureau of Economic Research, Inc.
  61. Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Effect of Long Memory in Volatility on Stock Market Fluctuations," CREATES Research Papers 2007-03, School of Economics and Management, University of Aarhus.
  62. 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.).
  63. Charlotte Christiansen & Angelo Ranaldo, 2006. "Realized Bond-Stock Correlation: Macroeconomic Announcement Effects," Working Papers 2006-02, Swiss National Bank.
  64. 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.
  65. repec:hal:wpaper:halshs-00588069 is not listed on IDEAS
  66. Paola Paiardini, 2010. "The Price Impact of Economic News, Private Information and Trading Intensity," Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics 1011, Birkbeck, Department of Economics, Mathematics & Statistics.
  67. Ehrmann, Michael & Fratzscher, Marcel & Rigobon, Roberto, 2005. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Working Paper Series, European Central Bank 0452, European Central Bank.
  68. Stefano d'Addona & Axel H. Kind, 2005. "International Stock-Bond Correlations in a Simple Affine Asset Pricing Model," Finance, EconWPA 0502018, EconWPA.
  69. Pietro Cova & Alessandro Rebucci & Akito Matsumoto & Massimiliano Pisani, 2008. "New Shocks, Exchange Rates and Equityprices," IMF Working Papers, International Monetary Fund 08/284, International Monetary Fund.
  70. Rui Albuquerque & Gregory Bauer & Martin Schneider, 2004. "Characterizing Asymmetric Information in International Equity Markets," International Finance, EconWPA 0405005, EconWPA.
  71. Hui Guo & Robert Savickas, 2006. "Idiosyncratic volatility, economic fundamentals, and foreign exchange rates," Working Papers, Federal Reserve Bank of St. Louis 2005-025, Federal Reserve Bank of St. Louis.
  72. 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.
  73. Dominique Guégan,Florian Ielpo, 2009. "Further Evidence on the Impact of Economic News on Interest Rates," Frontiers in Finance and Economics, SKEMA Business School, SKEMA Business School, vol. 6(2), pages 1 - 45, October.
  74. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2006. "The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps," Working Papers, Queen's University, Department of Economics 1188, Queen's University, Department of Economics.
  75. Marc Simpson & Sanjay Ramchander & James Webb, 2007. "The Asymmetric Response of Equity REIT Returns to Inflation," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 34(4), pages 513-529, May.