Marshall, Andrew; Musayev, Taleh; Pinto, Helena; Tang, … - In: Journal of International Financial Markets, … 22 (2012) 4, pp. 719-737
This paper investigates the impact of news announcements on foreign exchange (FX) implied volatility (IV) for four major FX rates for the 12-year period 1998–2009. The news announcements examined are 16 scheduled US macroeconomic announcements, the release of the minutes of the Federal Open...