Asymmetries and state dependence: The impact of macro surprises on intraday exchange rates
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DOI: 10.1016/j.jjie.2012.08.004
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- Rasmus Fatum & Michael M. Hutchison & Thomas Wu, 2010. "Asymmetries and state dependence: the impact of macro surprises on intraday exchange rates," Globalization Institute Working Papers 49, Federal Reserve Bank of Dallas.
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More about this item
Keywords
Foreign exchange rates; Intraday data; Macroeconomic news effects;All these keywords.
JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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