Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

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The distribution of realized stock return volatility

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Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model

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Economic News and Bond Prices: Evidence from the U.S. Treasury Market

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Macroeconomic FactorsDoInfluence Aggregate Stock Returns

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Stock Prices, News, and Business Conditions

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Do Measures of Monetary Policy in a Var Make Sense?

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A geographical model for the daily and weekly seasonal volatility in the foreign exchange market

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Currency traders and exchange rate dynamics: a survey of the US market

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Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis

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Stock Prices and Economic News

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Consensus and Uncertainty in Economic Prediction

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The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator

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Modeling Volatility Dynamics

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News effects in a high‐frequency model of the sterling‐dollar exchange rate

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A Survey of Empirical Research on Nominal Exchange Rates

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One Day in June 1993: A Study of the Working of the Reuters 2000-2 Electronic Foreign Exchange Trading System

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The Effects of Inflation and Money Supply Announcements on Interest Rates

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What Moves the Bond Market

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Modeling and Forecasting Realized Volatility

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Security bid/ask dynamics with discreteness and clustering: Simple strategies for modeling and estimation

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The Market Microstructure of Central Bank Intervention

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Norminal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel

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Volatility, Momentum, and Time-Varying Skewness in Foreign Exchange Returns

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The impact of the Federal Reserve Bank's open market operations

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Announcement Effects and Seasonality in the Intra-day Foreign Exchange Market

1996 • 42 citations

The Impact of News on Foreign Exchange Rates: Evidence from High Frequency Data

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Why Order Flow Explains Exchange Rates

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Return Dynamics when Persistence is Unobservable

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

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Real Trading Patterns and Prices in Spot Foreign Exchange Markets

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Daylight savings ends -- Time to brighten up!

2000 • 5 citations