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Using intraday data to gauge financial market responses to Federal Reserve and ECB monetary policy decisions

Andersson, Magnus - In: International journal of central banking : IJCB 6 (2010) 2, pp. 117-146

Persistent link: https://www.econbiz.de/10008651088

Macroeconomic announcements and asymmetric volatility in bond returns

Goeij, Peter de; Marquering, Wessel A. - In: Journal of banking & finance 30 (2006) 10, pp. 2659-2680

Persistent link: https://www.econbiz.de/10003376418

Macroeconomic news effects on conditional volatilities in the bond and stock markets

Arshanapalli, Bala Gangadhar; D'Ouville, Edmond L.; … - In: Applied financial economics 16 (2006) 5, pp. 377-384

Persistent link: https://www.econbiz.de/10003289274

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

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2004

Persistent link: https://www.econbiz.de/10003350019

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

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2006

Persistent link: https://www.econbiz.de/10003393564

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

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2004 - rev

Persistent link: https://www.econbiz.de/10003229579

Using intraday data to gauge financial market responses to Fed and ECB monetary policy decisions

Andersson, Magnus (contributor) - 2007

the US and euro area bond and stock markets are used. A strong upsurge in intraday volatility at the time of the release …

Persistent link: https://www.econbiz.de/10003422693

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

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - In: Journal of international economics 73 (2007) 2, pp. 251-277

Persistent link: https://www.econbiz.de/10003586320

High-Frequency Trading in the U.S. Treasury Market Around Macroeconomic News Announcements

Jiang, George J. - 2018

This paper investigates high-frequency (HF) trading in the U.S. Treasury market around macroeconomic news announcements. After identifying HF market and limit orders based on the speed of their placement alteration and cancellation deemed beyond manual ability, we use the introduction of the...

Persistent link: https://www.econbiz.de/10012912840

Dealer balance sheets and bond liquidity provision

Adrian, Tobias; Boyarchenko, Nina; Shachar, Or - 2017

Persistent link: https://www.econbiz.de/10011735053

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