"Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange"
Year of publication: |
2003
|
---|---|
Authors: | Bollerslev, T. ; Andersen, T.G. ; Diebold, F. X. ; Vega, C. |
Publisher: |
American Economic Review |
Subject: | Anticipations data | Asset return volatility | Expectations data | Forecasting | Macroeconomic news announcements | Market microstructure | Order flow | exchange rates |
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