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Citations for "Public information releases, private information arrival and volatility in the foreign exchange market"

by DeGennaro, Ramon P. & Shrieves, Ronald E.

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  1. Gabriele Galati & Corrinne Ho, 2003. "Macroeconomic News and the Euro/Dollar Exchange Rate," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 32(3), pages 371-398, November.
  2. Muniandy, Sithi V. & Uning, Rosemary, 2006. "Characterization of exchange rate regimes based on scaling and correlation properties of volatility for ASEAN-5 countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 371(2), pages 585-598.
  3. Cai, Jun & Cheung, Yan-Leung & Lee, Raymond S. K. & Melvin, Michael, 2001. "'Once-in-a-generation' yen volatility in 1998: fundamentals, intervention, and order flow," Journal of International Money and Finance, Elsevier, vol. 20(3), pages 327-347, June.
  4. Gabriel Desgranges & Stéphane Gauthier, 2011. "Privileged Information Exacerbates Market Volatility," Working Papers 2011-14, Centre de Recherche en Economie et Statistique.
  5. 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.
  6. 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.
  7. Ben Omrane, Walid & de Bodt, Eric, 2007. "Using self-organizing maps to adjust for intra-day seasonality," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1817-1838, June.
  8. Yuliya Lovcha & Alejandro Perez-Laborda, 2010. "Is exchange rate – customer order flow relationship linear? Evidence from the Hungarian FX market," MNB Working Papers 2010/10, Magyar Nemzeti Bank (the central bank of Hungary).
  9. Ben Omrane, Walid & Heinen, Andréas, 2010. "Public news announcements and quoting activity in the Euro/Dollar foreign exchange market," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2419-2431, November.
  10. 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.
  11. Martin D. D. Evans & Richard K. Lyons, 2003. "How is Macro News Transmitted to Exchange Rates?," NBER Working Papers 9433, National Bureau of Economic Research, Inc.
  12. BEN OMRANE, Walid & HEINEN, Andréas, 2003. "The response of individual FX dealers'quoting activity to macroeconomic news announcements," CORE Discussion Papers 2003070, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  13. Han, Young Wook, 2008. "Intraday effects of macroeconomic shocks on the US Dollar-Euro exchange rates," Japan and the World Economy, Elsevier, vol. 20(4), pages 585-600, December.
  14. 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 49, Federal Reserve Bank of Dallas.
  15. 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.
  16. Darmoul Mokhtar, 2006. "The impact of monetary policy signals on the intradaily Euro-dollar volatility," Cahiers de la Maison des Sciences Economiques bla06049, Université Panthéon-Sorbonne (Paris 1).
  17. Michael Melvin & Xixi Yin, . "Public Information Arrival, Exchange Rate Volatility, and Quote Frequency," Working Papers 96/1, Arizona State University, Department of Economics.
  18. Martin D.D. Evans & Richard K. Lyons, 1999. "Order Flow and Exchange Rate Dynamics," NBER Working Papers 7317, National Bureau of Economic Research, Inc.
  19. Peter Koudijs, 2013. "The boats that did not sail: Asset Price Volatility and Market Efficiency in a Natural Experiment," NBER Working Papers 18831, National Bureau of Economic Research, Inc.
  20. Jansen, David-Jan & De Haan, Jakob, 2005. "Talking heads: the effects of ECB statements on the euro-dollar exchange rate," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 343-361, March.
  21. BAUWENS, Luc & BEN OMRANE, Walid & GIOT, Pierre, . "News announcements, market activity and volatility in the euro/dollar foreign exchange market," CORE Discussion Papers RP -1787, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  22. 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.
  23. Kathryn Dominguez & Freyan Panthaki, 2005. "What Defines "News" in Foreign Exchange Markets?," NBER Working Papers 11769, National Bureau of Economic Research, Inc.
  24. Groß-Klußmann, Axel & Hautsch, Nikolaus, 2009. "Quantifying high-frequency market reactions to real-time news sentiment announcements," CFS Working Paper Series 2009/31, Center for Financial Studies (CFS).
  25. 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, vol. 20(3), pages 238-258, July.
  26. Javier De Peña & Luis A. Gil-Alana, 2003. "Testing of Nonstationary Cycles in Financial Time Series Data," Faculty Working Papers 15/03, School of Economics and Business Administration, University of Navarra.
  27. M. D. Mckenzie & R. D. Brooks, 2003. "The role of information in Hong Kong individual stock futures trading," Applied Financial Economics, Taylor & Francis Journals, vol. 13(2), pages 123-131.
  28. Kim, Suk-Joong & McKenzie, Michael D. & Faff, Robert W., 2004. "Macroeconomic news announcements and the role of expectations: evidence for US bond, stock and foreign exchange markets," Journal of Multinational Financial Management, Elsevier, vol. 14(3), pages 217-232, July.
  29. Henry, Ólan & Olekalns, Nilss & Shields, Kalvinder, 2010. "Sign and phase asymmetry: News, economic activity and the stock market," Journal of Macroeconomics, Elsevier, vol. 32(4), pages 1083-1100, December.
  30. Andersen, Torben G. & Bollerslev, Tim & Cai, Jun, 2000. "Intraday and interday volatility in the Japanese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 107-130, June.
  31. Hashimoto, Yuko, 2005. "The impact of the Japanese banking crisis on the intraday FX market in late 1997," Journal of Asian Economics, Elsevier, vol. 16(2), pages 205-222, April.
  32. 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, vol. 22(2), pages 193-207, June.
  33. Mauro Bernardi & Leopoldo Catania & Lea Petrella, 2014. "Are news important to predict large losses?," Papers 1410.6898, arXiv.org, revised Oct 2014.
  34. Chang, Yuanchen & Taylor, Stephen J., 2003. "Information arrivals and intraday exchange rate volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(2), pages 85-112, April.
  35. Frömmel, Michael & Mende, Alexander & Menkhoff, Lukas, 2008. "Order flows, news, and exchange rate volatility," Journal of International Money and Finance, Elsevier, vol. 27(6), pages 994-1012, October.
  36. 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, vol. 1(1), pages 50-62, April.
  37. Evans, Martin D. D. & Lyons, Richard K., 2002. "Time-varying liquidity in foreign exchange," Journal of Monetary Economics, Elsevier, vol. 49(5), pages 1025-1051, July.
  38. Evans, Martin D.D. & Lyons, Richard K., 2005. "Do currency markets absorb news quickly?," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 197-217, March.
  39. Robert F. Engle & Martin Klint Hansen & Asger Lunde, 2012. "And Now, The Rest of the News: Volatility and Firm Specific News Arrival," CREATES Research Papers 2012-56, School of Economics and Management, University of Aarhus.
  40. Eugene Durenard & David Veredas, 2002. "Macro Surprises And Short-Term Behaviour In Bond Futures," CIRANO Working Papers 2002s-03, CIRANO.
  41. Torben G. Andersen & Tim Bollerslev, 1996. "DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies," NBER Working Papers 5783, National Bureau of Economic Research, Inc.
  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, vol. 35(10), pages 2584-2597, October.
  43. Laakkonen, Helinä, 2007. "Exchange rate volatility, macro announcements and the choice of intraday seasonality filtering method," Research Discussion Papers 23/2007, Bank of Finland.
  44. BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," CORE Discussion Papers 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  45. Richard K. Lyons, 2001. "Foreign exchange: macro puzzles, micro tools," Pacific Basin Working Paper Series 2001-10, Federal Reserve Bank of San Francisco.
  46. Ben Omrane, Walid & Heinen, Andréas, 2009. "Is there any common knowledge news in the Euro/Dollar market?," International Review of Economics & Finance, Elsevier, vol. 18(4), pages 656-670, October.
  47. 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.
  48. Kathryn M. E. Dominguez & Freyan Panthaki, 2007. "The influence of actual and unrequited interventions," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 171-200.
  49. Sylwia Nowak, 2008. "How Do Public Announcements Affect The Frequency Of Trading In U.S. Airline Stocks?," CAMA Working Papers 2008-38, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  50. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "How is Macro News Transmitted to Exchange Rates? (December 2003)," Working Papers gueconwpa~05-05-05, Georgetown University, Department of Economics.
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