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Real-time price discovery in stock, bond and foreign exchange markets

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Center for Financial Studies - 2004

We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean...

Persistent link: https://www.econbiz.de/10010958800

Empirical Contributions to Optionpricing analyzing Black and Scholes and other Models

Schroeder, Gerhard - EconWPA - 2005

) has impact on forecasting models. The current impact of volatility - there is no - on option pricing is not justified. …

Persistent link: https://www.econbiz.de/10005556646

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Department of Economics, University of Pennsylvania - 2003

We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high frequency futures returns for each of the markets. We find that news surprises produce conditional mean...

Persistent link: https://www.econbiz.de/10005126708

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - School of Economics and Management, University of Aarhus - 2007

Using a unique high-frequency futures dataset, we characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. We find that news produces conditional mean jumps, hence high-frequency stock, bond and exchange rate dynamics...

Persistent link: https://www.econbiz.de/10005440071

Understanding Order Flow

Georgetown University, Department of Economics - 2005

This paper develops a model for understanding end-user order flow in the FX market. The model addresses several puzzling findings. First, the estimated price-impact of flow from different end-user segments is, dollar-for-dollar, quite different. Second, order flow from segments traditionally...

Persistent link: https://www.econbiz.de/10005396412

Exchange Rates Forecasting Model: An Alternative Estimation Procedure

Baharumshah, Ahmad Zubaidi; Sen, Liew Khim; Ping, Lim Kian - EconWPA - 2003

forecasting models as they easily outperform the simple random walk model--which is rarely defeated in the literature of exchange … rate forecasting--in term of out- of-sample forecasting, for all the forecast horizons ranging from one to fourteen …

Persistent link: https://www.econbiz.de/10005408205

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Center for Financial Studies - 2004

Persistent link: https://www.econbiz.de/10005022409

Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting

Georgetown University, Department of Economics - 2005

This paper compares the true, ex-ante forecasting performance of a micro-based model against both a standard macro … model and a random walk. In contrast to existing literature, which is focused on longer horizon forecasting, we examine … forecasting over horizons from one day to one month (the one-month horizon being where micro and macro analysis begin to overlap …

Persistent link: https://www.econbiz.de/10005622961

Wool and Wool-Based Textiles in the West European Economy, c.800 - 1500: Innovations and Traditions in Textile Products, Technology, and Industrial Organisation

Munro, John H. - University of Toronto, Department of Economics - 2000

This paper is a necessary companion to the one entitled The West European Woollen Industries and their Struggles for International Markets, c.1000 - 1500. No one can properly comprehend that five-century history of international competition for textile markets, without some basic understanding...

Persistent link: https://www.econbiz.de/10005827217

The Changing Fortunes of Fairs in Medieval and Early Modern Europe: Warfare, Transaction Costs, and the 'New Institutional Economics'

Munro, John H. - University of Toronto, Department of Economics - 2000

This paper revisits, modifies, and combines elements of three major 'institutional' international-trade models, none of which has yet fully received the attention that it deserves, to provide a new explanation for the growth, decline, and then rebirth of internationally-oriented fairs in the...

Persistent link: https://www.econbiz.de/10005827218

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