Real-time price discovery in global stock, bond and foreign exchange markets
Tóm tắt
Từ khóa
Tài liệu tham khảo
Aït-Sahalia, 2005, How often to sample a continuous-time process in the presence of market microstructure noise, Review of Financial Studies, 18, 351, 10.1093/rfs/hhi016
Andersen, 1998, Deutsche mark–dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies, Journal of Finance, 53, 219, 10.1111/0022-1082.85732
Andersen, 2001, The distribution of realized exchange rate volatility, Journal of the American Statistical Association, 96, 42, 10.1198/016214501750332965
Andersen, 2003, Modeling and forecasting realized volatility, Econometrica, 71, 579, 10.1111/1468-0262.00418
Andersen, 2003, Micro effects of macro announcements: real-time price discovery in foreign exchange, American Economic Review, 93, 38, 10.1257/000282803321455151
Balduzzi, 2001, Economic news and bond prices: evidence from the U.S. treasury market, Journal of Financial and Quantitative Analysis, 36, 523, 10.2307/2676223
Bandi, 2004
Blanchard, 1984, Perspectives on high world real interest rates, Brookings Papers on Economic Activity, 2, 273, 10.2307/2534433
Bollerslev, 2000, Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the U.S. treasury bond market, Journal of Empirical Finance, 7, 37, 10.1016/S0927-5398(00)00002-5
Boyd, 2005, The stock market's reaction to unemployment news: why bad news is usually good for stocks, Journal of Finance, 60, 649, 10.1111/j.1540-6261.2005.00742.x
Brandt, 2004, Price discovery in the U.S. treasury market: the impact of order flow and liquidity on the yield curve, Journal of Finance, 59, 2623, 10.1111/j.1540-6261.2004.00711.x
Chinn, 2004, The euro area and world interest rates, vol. 1016
Connolly, 2005, Stock market uncertainty and the stock–bond return relation, Journal of Financial and Quantitative Analysis, 40, 161, 10.1017/S0022109000001782
David, 2004, Inflation and earnings uncertainty and volatility forecasts
Evans, 2003, How is macro news transmitted to exchange rates?, vol. 9433
Evans, 2005, Meese–Rogoff redux: micro-based exchange rate forecasting, American Economic Review, 95, 405, 10.1257/000282805774669934
Faust, 2007, The high-frequency response of exchange rates and interest rates to macroeconomic announcements., Journal of Monetary Economics, 54, 1051, 10.1016/j.jmoneco.2006.05.015
Fleming, 1998, Information and volatility linkages in the stock, bond and money market, Journal of Financial Economics, 49, 111, 10.1016/S0304-405X(98)00019-1
Guidolin, 2005, Strategic asset allocation under multivariate regime switching
Guidolin, 2006, An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns, Journal of Applied Econometrics, 21, 1, 10.1002/jae.824
Hansen, 2006, Realized variance and market microstructure noise, Journal of Business and Economic Statistics, 24, 127, 10.1198/073500106000000071
Hasbrouck, 2003, Intraday price formation in U.S. equity index markets, Journal of Finance, 58, 2375, 10.1046/j.1540-6261.2003.00609.x
Lucas, 1982, Interest rates and currency prices in a two-country world, Journal of Monetary Economics, 10, 335, 10.1016/0304-3932(82)90032-0
Pasquariello, P., Vega, C., 2004. Informed and strategic order flow in the bond markets. Manuscript, University of Michigan and University of Rochester.
Ribeiro, 2002, Excess comovement of international stock markets in bad times: a rational expectations equilibrium model
Rich, 2003, Modeling uncertainty: predictive accuracy as a proxy for predictive confidence, vol. 161
Rigobon, 2003, Identification through heteroskedasticity, Review of Economics and Statistics, 85, 777, 10.1162/003465303772815727
Rigobon, 2003, Measuring the reaction of monetary policy to the stock market, Quarterly Journal of Economics, 118, 639, 10.1162/003355303321675473
Rigobon, 2003, Spillovers across U.S. financial markets, vol. 9640
Rigobon, 2004, The impact of monetary policy on asset prices, Journal of Monetary Economics, 51, 1553, 10.1016/j.jmoneco.2004.02.004