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

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Continuous Auctions and Insider Trading

1985 • 9,651 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies

1998 • 1,222 citations

How Markets Process Information: News Releases and Volatility

1993 • 976 citations

A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets

1990 • 818 citations

Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information

1999 • 717 citations

An Investigation of Transactions Data for NYSE Stocks

1985 • 580 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

Volatility in the Foreign Currency Futures Market

1991 • 282 citations

Tests of Financial Models in the Presence of Overlapping Observations

1991 • 276 citations

How Markets Process Information: News Releases and Volatility

1993 • 183 citations

Monetary Policy and Open Market Operations during 1994

1994 • 113 citations

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

1998 • 77 citations

Tests and Properties of Variance Ratios in Microstructure Studies

1997 • 59 citations

Intraday Volatility in Interest‐Rate and Foreign‐Exchange Markets: ARCH, Announcement, and Seasonality Effects

2001 • 55 citations

U.S. Monetary Policy and Financial Markets

2013 • 38 citations

Economic News and Intraday Volatility in International Bond Markets

1993 • 23 citations

Financial Market Responses to Monetary Policy Changes in the 1990s

2001 • 1 citations