Impact of news announcements on the foreign exchange implied volatility
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference34 articles.
1. Impact of US and UK macroeconomic news announcements on the return distribution implied by FTSE-100 index options;Äijö;International Review of Financial Analysis,2008
2. Asymmetric impact of trade balance news on asset prices;Aggarwal;Journal of International Financial Markets, Institutions and Money,1998
3. Deutsche mark-dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies;Andersen;Journal of Finance,1998
4. Micro effects of macro announcements: real time price discovery in foreign exchange;Andersen;American Economic Review,2003
5. Money supply announcements and the ex ante volatility of asset prices;Bailey;Journal of Money, Credit and Bunking,1988
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