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

Discretion versus policy rules in practice

1993 • 9,049 citations

Measuring and Testing the Impact of News on Volatility

1993 • 3,716 citations

The distribution of realized stock return volatility

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The Distribution of Realized Exchange Rate Volatility

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

1998 • 1,222 citations

Exchange rates and fundamentals: Evidence on long-horizon predictability

1995 • 1,120 citations

Order Flow and Exchange Rate Dynamics

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

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Stock Prices, News, and Business Conditions

1993 • 694 citations

Do Measures of Monetary Policy in a Var Make Sense?

1998 • 654 citations

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

1985 • 413 citations

Consensus and Uncertainty in Economic Prediction

1987 • 353 citations

The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior

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When Is Bad News Really Bad News?

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Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market

2000 • 264 citations

Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Futures Market

2000 • 219 citations

A survey of market practitioners’ views on exchange rate dynamics

2000 • 216 citations

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

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How Markets Process Information: News Releases and Volatility

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The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator

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Macroeconomic Factors DO Influence Aggregate Stock Returns

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

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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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Trading Patterns and Prices in the Interbank Foreign Exchange Market

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

1999 • 103 citations

Modeling and Forecasting Realized Volatility

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

1998 • 77 citations

The Market Microstructure of Central Bank Intervention

1999 • 59 citations

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

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

1996 • 42 citations

On the Bias in Flexible Functional Forms and an Essentially Unbiased Form: The Fourier Flexible Form

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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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Security Bid/Ask Dynamics with Discreteness and Clustering: Simple Strategies for Modeling and Estimation

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The Impact of the Federal Reserve Bank's Open Market Operations

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Real Trading Patterns and Prices in Spot Foreign Exchange Markets

1999 • 9 citations