Macro news and stock returns in the Euro area: A VAR-GARCH-in-mean analysis

Author:

Caporale Guglielmo MariaORCID,Spagnolo Fabio,Spagnolo Nicola

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference33 articles.

1. Micro effects of macro announcements: Real-rime price discovery in foreign exchange;Andersen;The American Economic Review,2003

2. Real-time price discovery in global stock, bond and foreign exchange markets;Andersen;The American Economic Review,2007

3. Is all that talk just noise? The information content of Internet stock message boards;Antweiler;The Journal of Finance,2004

4. World gold prices and stock returns in China: Insights for hedging and diversification strategies;Arouri;Economic Modelling,2015

5. On the unstable relationship between exchange rates and macroeconomic fundamentals;Bacchetta;Journal of International Economics,2013

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