High Frequency Analysis of Macro News Releases on the Foreign Exchange Market: A Survey of Literature
暂无分享,去创建一个
[1] O. Issing. Asset Prices and Monetary Policy , 2009 .
[2] Paolo Vitale,et al. A Transaction Level Study of the Effects of Central Bank Intervention of Exchange Rates , 2001 .
[3] Martin D.D. Evans,et al. Time-Varying Liquidity in Foreign Exchange , 2002 .
[4] Martin D. D. Evans,et al. Informational integration and FX trading , 2002 .
[5] Clara Vega,et al. Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market: Rise of the Machines , 2014 .
[6] Y. Shin,et al. Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics , 2011 .
[7] Michael Ehrmann,et al. Exchange Rates and Fundamentals: New Evidence from Real-Time Data , 2004 .
[8] Richard K. Lyons,et al. Do Currency Markets Absorb News Quickly? , 2005 .
[9] Francis X. Diebold,et al. Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets , 2006 .
[10] Suk-Joong Kim,et al. Minute-by-minute dynamics of the Australian bond futures market in response to new macroeconomic information , 2001 .
[11] Lukas Menkhoff,et al. High-Frequency Analysis of Foreign Exchange Interventions: What Do We Learn? , 2008, SSRN Electronic Journal.
[12] Carlo Rosa. The high-frequency response of exchange rates to monetary policy actions and statements , 2011 .
[13] Richard Payne,et al. The Effects of Macroeconomic News on High Frequency Exchange Rate Behavior , 1998, Journal of Financial and Quantitative Analysis.
[14] Barry Scholnick,et al. Monetary Policy News and Exchange Rate Responses: Do Only Surprises Matter? , 2005 .
[15] Pierre Giot,et al. News Announcements, Market Activity and Volatility in the Euro/Dollar Foreign Exchange Market , 2003 .
[16] R. Rigobón,et al. Noisy Macroeconomic Announcements, Monetary Policy, and Asset Prices , 2006 .
[17] Erik Hjalmarsson,et al. What Drives Volatility Persistence in the Foreign Exchange Market , 2006 .
[18] Thomas Nitschka,et al. Foreign Currency Returns and Systematic Risks , 2015 .
[19] Vladyslav Sushko,et al. Impact of Macroeconomic Surprises on Carry Trade Activity , 2011 .
[20] Christopher J. Neely,et al. Jumps, Cojumps and Macro Announcements , 2009 .
[21] Jonathan H. Wright,et al. Order Flow and Exchange Rate Dynamics in Electronic Brokerage System Data , 2005 .
[22] Marcel Fratzscher. What Explains Global Exchange Rate Movements during the Financial Crisis , 2009, SSRN Electronic Journal.
[23] M. Hutchison,et al. Asymmetries and state dependence: The impact of macro surprises on intraday exchange rates , 2010 .
[24] Jonathan H. Wright,et al. The High-Frequency Response of Exchange Rates and Interest Rates to Macroeconomic Announcements , 2003 .
[25] Francis X. Diebold,et al. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange , 2002 .
[26] Kathryn M. E. Dominguez. The Market Microstructure of Central Bank Intervention , 1997 .
[27] F. Cai,et al. The Impact of Macroeconomic Announcements on Real Time Foreign Exchange Rates in Emerging Markets , 2009 .
[28] Yu-Lun Chen,et al. News announcements and price discovery in foreign exchange spot and futures markets , 2010 .
[29] Dagfinn Rime,et al. Exchange Rate Forecasting, Order Flow and Macroeconomic Information , 2009 .