Narrow search
Showing 1 - 10 of 19,300
Cover Image
Asymmetric impact of monetary surprises on exchange rate
Ding, Liang; Yang, Qianyi - In: Applied economics 50 (2018) 7, pp. 789-803
Persistent link: https://www.econbiz.de/10011847172
Cover Image
Non-parametric sign test and paired samples test of effectiveness of official FX intervention
Marinković, Srđan - In: Economic annals 59 (2014) 202, pp. 107-130
Persistent link: https://www.econbiz.de/10010491977
Cover Image
Heterogeneous information arrivals and return volatility dynamics : uncovering the long-run in high frequency returns
Andersen, Torben; Bollerslev, Tim - 1996
Persistent link: https://www.econbiz.de/10000603372
Cover Image
Public information arrival, exchange rate volatility, and quote frequency
Melvin, Michael; Yin, Xixi - In: The economic journal : the journal of the Royal … 110 (2000), pp. 644-661
Persistent link: https://www.econbiz.de/10001495743
Cover Image
An empirical analysis of exchange rates using high-frequency data
Payne, Richard - 1997
Persistent link: https://www.econbiz.de/10001436960
Cover Image
Heterogeneous information arrivals and return volatility dynamics : uncovering the long-run in high frequency returns
Andersen, Torben - In: The journal of finance : the journal of the American … 52 (1997) 3, pp. 975-1005
Persistent link: https://www.econbiz.de/10001225624
Cover Image
Heterogeneous Information Arrivals and Return Volatility Dynamics : Uncovering the Long-Run in High Frequency Returns
Andersen, Torben G. - 2010
Recent empirical evidence suggests that the long-run dependence in financial market volatility is best characterized by … a slowly mean-reverting fractionally integrated process. At the same time, much shorter-lived volatility dependencies …-of-distributions hypothesis interpretation of the latent volatility process in rationalizing this behavior. By interpreting the overall volatility …
Persistent link: https://www.econbiz.de/10012763898
Cover Image
Macroeconomic Announcements and Price Discovery in the Foreign Exchange Market
Gau, Yin-Feng - 2016
This article examines the price discovery function around releases of macroeconomic announcements to explore the informational efficiency of prices in a 24-hour trading platform. We study the contribution to price discovery of four periods of trading, including the Asian, European, European-U.S....
Persistent link: https://www.econbiz.de/10013005256
Cover Image
Monetary policy announcements, information schocks, and exchange rate dynamics
Gründler, Daniel; Mayer, Eric; Scharler, Johann - 2021
We study nominal exchange rate dynamics in the aftermath of U.S. monetary policy announcements. Using high-frequency interest rate and stock price movements around FOMC announcements, we distinguish between pure monetary policy shocks and information shocks, which are associated with new...
Persistent link: https://www.econbiz.de/10012591177
Cover Image
A hybrid approach to exchange rates : how do macro news and order flow affect exchange rate volatility?
Zhang, Guangfeng; Marsh, Ian; MacDonald, Ronald - In: Studies in economics and finance 33 (2016) 1, pp. 50-68
Persistent link: https://www.econbiz.de/10011718725