Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - In: American Economic Review 93 (2003) 1, pp. 38-62
Using a new data set consisting of six years of real-time exchange-rate quotations, macroeconomic expectations, and macroeconomic realizations, we characterize the conditional means of U.S. dollar spot exchange rates. In particular, we find that announcement surprises produce conditional mean...