A mean variance king? Creation and resolution of uncertainty under the employment report's reign
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- Savaser, Tanseli, 2011.
"Exchange rate response to macronews: Through the lens of microstructure,"
Journal of International Financial Markets, Institutions and Money,
Elsevier, vol. 21(1), pages 107-126, February.
- Tanseli Savaser, 2007. "Exchange Rate Response to Macro News: Through the Lens of Microstructure," Department of Economics Working Papers 2007-02, Department of Economics, Williams College.
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KeywordsInformation processing; trading process; volatility; macroeconomic announcements; Treasury bond futures; high-frequency data;
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
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