Macroeconomic news, public communications, and foreign exchange jumps around U.S. and European financial crises
Author:
Affiliation:
1. Department Finance, Operations and Information Systems, Goodman School of BusinessBrock University St. Catharines Ontario Canada
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1002/ijfe.1747
Reference44 articles.
1. Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
2. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
3. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
4. Real-time price discovery in global stock, bond and foreign exchange markets
5. No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications
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