Persistent Impact of Macroeconomic Announcements in Financial Market Data
Author:
Publisher
Elsevier BV
Reference10 articles.
1. Economic news and bond prices: Evidence from the u.s. treasury market;P Balduzzi;The Journal of Financial and Quantitative Analysis,2001
2. Micro effects of macro announcements: Realtime price discovery in foreign exchange;T G Andersen;National Bureau of Economic Research,2002
3. The impact of european central bank governing council announcements on the foreign exchange market: a microstructural analysis;M J Sager;Journal of International Money and Finance,2004
4. Jumps, cojumps and macro announcements;J Lahaye;Journal of Applied Econometrics,2011
5. Realized jumps on financial markets and predicting credit spreads;G Tauchen;Journal of Econometrics,2011
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