Macroeconomic news announcements, systemic risk, financial market volatility, and jumps-Reference-Cited by-同舟云学术

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Macroeconomic news announcements, systemic risk, financial market volatility, and jumps

Published:2018-01-24 Issue:5 Volume:38 Page:513-534
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J Futures Markets

Author:

Huang Xin¹^ORCID

Affiliation:

1. Risk Analysis Section; Federal Reserve Board; Washington District of Columbia

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference28 articles.

1. Deutschemark-dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies;Andersen;Journal of Finance,1998

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

3. Roughing it up: Including jump components in the measurement, modeling and forecasting of return volatility;Andersen;Review of Economics and Statistics,2007

4. Real-time price discovery in global stock, bond and foreign exchange markets;Andersen;Journal of International Economics,2007

5. Economic news and bond prices: Evidence from the U.S. treasury market;Balduzzi;Journal of Financial and Quantitative Analysis,2001

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