This paper analyses the effect of nine categories of news announcements on the quoting activity of individual FX dealers on the Euro/Dollar exchange rate from May to October 2001. We use the Double Autoregressive Conditional Poisson model (DACP), which is designed for time series of count data,...

The effect of public news announcements on dealers' quoting activity is analyzed with the multivariate double autoregressive conditional Poisson model. Quoting activity is measured by the frequency of price revisions in the Euro/Dollar foreign exchange market. The multivariate double...

This paper analyzes the effect of nine categories of news announcements on the quoting activity of individual foreign exchange (FX) dealers on the Euro/Dollar exchange rate from May to October 2001. We use the double autoregressive conditional Poisson model (DACP), which is designed for time...

This paper analyses the effect of nine categories of news announcements on the quoting activity of individual FX dealers on the Euro/Dollar exchange rate from May to October 2001. We use the Double Autoregressive Conditional Poisson model (DACP), which is designed for time series of count data,...