Evans, Martin D. D. (contributor); … - 2004
, and
j
t
x∆ denotes the order flow for euros from segment j during day t. Daily innovations to the spot
rate and the 6 … order flows are denoted by
t
e and
j
t
u , respectively. These innovations are driven,
in part, by macro announcements …
ξ and
j
t
ζ shocks represent the sources of spot rate
and order flow innovations that are uncorrelated with the news …