The Impact of Macroeconomic Announcements on Emerging Market Bonds

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*

1970 • 15,798 citations

The Econometrics of Financial Markets

2012 • 6,595 citations

Rational Expectations and the Theory of Price Movements

1961 • 5,518 citations

Efficient Capital Markets: II

1991 • 5,145 citations

Credit Swap Valuation

1999 • 646 citations

Determinants and Impact of Sovereign Credit Ratings

1996 • 628 citations

Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market

2002 • 449 citations

Economic News and the Impact of Trading on Bond Prices

2004 • 429 citations

News spillovers in the sovereign debt market

2005 • 367 citations

Macroeconomic news and bond market volatility1We thank Walter Toshi Baily, Bob Korajczyk, Jim Poterba, Mark Watson, seminar participants at the University of Chicago, Columbia University, Cornell University, and the University of Montreal, and especially Ludger Hentschel (the referee) for helpful comments. We also thank Mark Mitchell for supplying data, and Amy C. Ko and Sydney Ludvigson for research assistance. Lamont was supported by the FMC Faculty Research Fund at the Graduate School of …

1998 • 356 citations

What Triggers Market Jitters? A Chronicle of the Asian Crisis

1999 • 347 citations

Boom and Bust and Sovereign Ratings

1999 • 289 citations

How Does U.S. Monetary Policy Influence Sovereign Spreads in Emerging Markets?

2001 • 209 citations

Emerging Markets Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns?

1999 • 191 citations

Macroeconomic news announcements and the role of expectations: evidence for US bond, stock and foreign exchange markets

2003 • 107 citations

Emerging Market Spread Compression: Is it Real or is it Liquidity?

2004 • 84 citations

Information arrivals and intraday exchange rate volatility

2003 • 79 citations

Economic News and the Yield Curve: Evidence from the U.S. Treasury Market

1998 • 77 citations

The Reaction of Exchange Rates and Interest Rates to News Releases

1997 • 77 citations

Communication and Exchange Rate Policy

2004 • 73 citations

The reaction of interest rates to the employment report: the role of policy anticipations

1991 • 48 citations

Crisis Management in Argentina during the 1994-95 Mexican Crisis: How Did Markets React?

1999 • 23 citations