How Markets Process Information: News Releases and Volatility

Why Does Stock Market Volatility Change Over Time?

1989 • 3,555 citations

Stock return variances

1986 • 1,878 citations

A Comparative Study of Tests for Homogeneity of Variances, with Applications to the Outer Continental Shelf Bidding Data

1981 • 866 citations

An Investigation of Transactions Data for NYSE Stocks

1985 • 580 citations

Heteroskedasticity in Stock Returns

1990 • 485 citations

The intraday speed of adjustment of stock prices to earnings and dividend announcements

1984 • 450 citations

Volatility in the Foreign Currency Futures Market

1991 • 282 citations

An Examination of Stock Market Return Volatility During Overnight and Intraday Periods, 1964–1989

1990 • 249 citations

The Money Supply Announcements Puzzle: Review and Interpretation

1983 • 219 citations

THE REACTION OF EXCHANGE RATES TO ECONOMIC NEWS

1985 • 146 citations

Inferences on the Parameters of the Birnbaum-Saunders Fatigue Life Distribution Based on Maximum Likelihood Estimation

1981 • 143 citations

Market perceptions of federal reserve policy and the weekly monetary announcements

1984 • 116 citations

Information Content and the Speed of Stock Price Adjustment

1985 • 94 citations

Intraday patterns in the S&P 500 index futures market

1992 • 69 citations

Interest Rates and Economic Announcements

1989 • 54 citations

Recent developments in international banking and finance

1993 • 43 citations

The Reaction of Interest Rates to the Employment Report: The Role of Policy Anticipations

1991 • 31 citations

The effect of unanticipated money on the money and foreign exchange markets

1989 • 27 citations

Money Supply Announcements and the Market's Perception of Federal Reserve Policy

1990 • 26 citations