1. Intraday CAC40, DAX and WIG20 returns when the American macro news is announced. (2010). Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara.
   In: Bank i Kredyt.
   RePEc:nbp:nbpbik:v:41:y:2010:i:2:p:7-20.

   Full description at Econpapers || Download paper

2. Return and Volatility Reactions to Monthly Announcements of Business Cycle Forecasts: An Event Study Based on High-Frequency Data. (2009). Entorf, Horst ; Gro, Anne ; Steiner, Christian.
   In: ZEW Discussion Papers.
   RePEc:zbw:zewdip:7535.

   Full description at Econpapers || Download paper

3. Intraday Linkages Across International Equity Markets. (2006). Harju, Kari ; Hussain, Syed Mujahid.
   In: Working Papers.
   RePEc:hhb:hanken:0516.

   Full description at Econpapers || Download paper

1. Andersen, T. and Bollerslev, T., 1997. Intraday Periodicity and Volatility Persistence in Financial Markets. Journal of Empirical Finance, Vol.4, pp. 115-158.

2. Andersen, T. and Bollerslev, T., 1998. Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements and Longer Run Dependencies. Journal of Finance, Vol. 53, pp. 219-265.

3. Andersen, T., Bollerslev, T., Diebold, F.X. and Vega, C., 2002. Micro Effects of Macro Announcements: Real Time Price Discovery in Foreign Exchange. NBER Working Paper No. 8595.

4. Balduzzi, P., Elton, E.J. and Green, T.C., 2001. Economic News and Bond Prices: Evidence from the U.S. Treasury Market. Journal of Financial and Quantitative Analysis, Vol. 36, pp. 523-543.

5. Chan, K.C., Karceski, J. and Lakonishok, J., 1998. The Risk and Return from Factors. Journal of Financial and Quantitative Analysis, Vol. 33, pp. 159-188.

6. Christie-David, R., Chaudhry, M., and Khan, W., 2002. News Releases, Market Integration, and Market Leadership. Journal of Financial Research, Vol. 25, pp. 223-245.

7. Errunza, V. and Hogna, K., 1998. Macroeconomic Determinants of European Stock Market Volatility. European Financial Management, Vol. 4, pp. 36 1-377.

8. Eun, C. S. and Shim, S., 1989. International Transmission of Stock Market Movements. The Journal of Financial and Quantitative Analysis, Vol. 24, pp. 241-256.

9. Flannery, M. J. and Protopapadakis, A., 2002. Macroeconomic Factors Do Influence Aggregate Stock Returns. The Review of Financial Studies, Vol. 15, pp. 75 1-782.

10. Gallant, R. R., 1981. On the bias in Flexible Functional Forms and an Essentially Unbiased Form: The Flexible Fourier Form. Journal of Econometrics, Vol. 15, pp. 211-245.

11. Gallant, R. R., 1982. Unbiased Determination of Production Technologies. Journal of Econometrics, Vol. 20, pp. 285-323.

12. Harris, L., 1986. A transaction data study of weekly and intradaily patterns in stock returns. Journal of Financial Economics, Vol. 16, pp. 99-117.

13. Lamont, 0., 2001. Economic Tracking Portfolios. Journal of Econometrics, Vol. 105, pp. 161-184.

14. Melvin, M. and Yin, X., 2000. Public Information Arrival, Exchange Rate Volatility and Quote Frequency. The Economic Journal, Vol. 110, pp. 644-66 1.

15. Ng, A., 2000. Volatility spillover effects from Japan and US to the Pacific-Basin. Journal of International Money and Finance, Vol. 19, pp. 207-233.

16. Nikkinen, J. and Sahlstrom, P., 2004. Scheduled Domestic and U.S. Macroeconomic News and Stock Valuation in Europe. Journal of Multinational Financial Management, Vol. 14, pp. 201-215.

1. Gradualism, transparency and improved operational framework: A look at the overnight volatility transmission. (2007). Zaghini, Andrea ; Colarossi, Silvio .
   In: CFS Working Paper Series.
   RePEc:zbw:cfswop:200716.

   Full description at Econpapers || Download paper

2. The asymmetric impact of macroeconomic announcements on U.S. Government bond rate level and volatility. (2007). TUYSUZ, Sukriye.
   In: MPRA Paper.
   RePEc:pra:mprapa:5381.

   Full description at Econpapers || Download paper

3. The Influence of Actual and Unrequited Interventions. (2007). Dominguez, Kathryn ; Panthaki, Freyan ; Kathryn M. E. Dominguez, .
   In: NBER Working Papers.
   RePEc:nbr:nberwo:12953.

   Full description at Econpapers || Download paper

4. Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures. (2006). Swanson, Norman ; Corradi, Valentina ; Distaso, Walter .
   In: Departmental Working Papers.
   RePEc:rut:rutres:200620.

   Full description at Econpapers || Download paper

5. Price Impacts of Deals and Predictability of the Exchange Rate Movements. (2006). Ito, Takatoshi ; Hashimoto, Yuko .
   In: NBER Working Papers.
   RePEc:nbr:nberwo:12682.

   Full description at Econpapers || Download paper

6. Intra-Day Seasonality in Activities of the Foreign Exchange Markets: Evidence From the Electronic Broking System. (2006). Ito, Takatoshi ; Hashimoto, Yuko .
   In: NBER Working Papers.
   RePEc:nbr:nberwo:12413.

   Full description at Econpapers || Download paper

7. The impact of monetary policy signals on the intradaily Euro-dollar volatility.. (2006). Mokhtar, Darmoul .
   In: Cahiers de la Maison des Sciences Economiques.
   RePEc:mse:wpsorb:bla06049.

   Full description at Econpapers || Download paper

8. Intraday Linkages Across International Equity Markets. (2006). Harju, Kari ; Hussain, Syed Mujahid.
   In: Working Papers.
   RePEc:hhb:hanken:0516.

   Full description at Econpapers || Download paper

9. Intraday Seasonalities and Macroeconomic News Announcements. (2006). Harju, Kari ; Hussain, Mujahid.
   In: Working Papers.
   RePEc:hhb:hanken:0512.

   Full description at Econpapers || Download paper

10. Which news moves the euro area bond market?. (2006). Sebestyén, Szabolcs ; Sebestyen, Szabolcs ; Hansen, Lars Jul ; Andersson, Magnus.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006631.

    Full description at Econpapers || Download paper

11. Intra-Daily FX Optimal Portfolio Allocation. (2006). Ben Omrane, Walid ; Bauwens, Luc ; Luc, Bauwens ; Erick, RENGIFO ; Walid, BEN OMRANE.
    In: Discussion Papers (ECON - Département des Sciences Economiques).
    RePEc:ctl:louvec:2006005.

    Full description at Econpapers || Download paper

12. APPLICATION OF GARCH MODELS IN FORECASTING THE VOLATILITY OF AGRICULTURAL COMMODITIES. (2005). Matringe, Olivier ; Guida, Tony.
    In: Finance.
    RePEc:wpa:wuwpfi:0512021.

    Full description at Econpapers || Download paper

13. Overlaying Time Scales in Financial Volatility Data. (2005). Hillebrand, Eric.
    In: Econometrics.
    RePEc:wpa:wuwpem:0501015.

    Full description at Econpapers || Download paper

14. HIGH FREQUENCY MULTIPLICATIVE COMPONENT GARCH. (2005). Engle, Robert ; Chanda, Ananda ; Sokalska, Magdalena E..
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:409.

    Full description at Econpapers || Download paper

15. Limit theorems for bipower variation in financial econometrics. (2005). Shephard, Neil ; Barndorff-Nielsen, Ole ; Jacod, Jean ; Graversen, Sven Erik.
    In: Economics Papers.
    RePEc:nuf:econwp:0506.

    Full description at Econpapers || Download paper

16. What Defines News in Foreign Exchange Markets?. (2005). Dominguez, Kathryn ; Panthaki, Freyan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11769.

    Full description at Econpapers || Download paper

17. Estimating Long Memory in Volatility. (2004). Moulines, Eric ; Hurvich, Clifford ; Soulier, Philippe.
    In: Econometrics.
    RePEc:wpa:wuwpem:0412006.

    Full description at Econpapers || Download paper

18. Microstructure of the Yen/Dollar Foreign Exchange Market: Patterns of Intra-day Activity Revealed in the Electronic Broking System. (2004). Ito, Takatoshi ; Hashi, Yuko.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10856.

    Full description at Econpapers || Download paper

19. Long term hedging of the Australian All Ordinaries Index using a bivariate error correction FIGARCH model. (2004). Dark, Jonathan .
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2004-7.

    Full description at Econpapers || Download paper

20. Long memory in the volatility of the Australian All Ordinaries Index and the Share Price Index futures. (2004). Dark, Jonathan .
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2004-5.

    Full description at Econpapers || Download paper

21. Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures. (2004). Dark, Jonathan .
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2004-4.

    Full description at Econpapers || Download paper

22. Realized Variance and IID Market Microstructure Noise. (2004). Lunde, Asger ; Hansen, Peter.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:526.

    Full description at Econpapers || Download paper

23. Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average. (2004). Awartani, Basel ; Corradi, Valentina.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:487.

    Full description at Econpapers || Download paper

24. Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average. (2004). Awartani, Basel ; Distaso, Walter ; Corradi, Valentina.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:273.

    Full description at Econpapers || Download paper

25. Volatility regimes and the provisions of liquidity in order book markets. (2004). Giot, Pierre ; Durré, Alain ; Helena, BELTRAN.
    In: Discussion Papers (ECON - Département des Sciences Economiques).
    RePEc:ctl:louvec:2005015.

    Full description at Econpapers || Download paper

26. Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models. (2003). Hillebrand, Eric.
    In: Econometrics.
    RePEc:wpa:wuwpem:0301003.

    Full description at Econpapers || Download paper

27. k -Factor GARMA models for intraday volatility forecasting. (2003). Lisi, Francesco ; Bisaglia, Luisa ; Bordignon, Silvano .
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:10:y:2003:i:4:p:251-254.

    Full description at Econpapers || Download paper

28. Power variation & stochastic volatility: a review and some new results. (2003). Shephard, Neil ; Barndorff-Nielsen, Ole ; Graversen, Svend Erik .
    In: Economics Papers.
    RePEc:nuf:econwp:0319.

    Full description at Econpapers || Download paper

29. Disentangling Volatility from Jumps. (2003). Ait-Sahalia, Yacine.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9915.

    Full description at Econpapers || Download paper

30. When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?. (2003). Dominguez, Kathryn ; Kathryn M. E. Dominguez, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9875.

    Full description at Econpapers || Download paper

31. Central bank talk: does it matter and why?. (2003). Sack, Brian P. ; Kohn, Donald L..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2003-55.

    Full description at Econpapers || Download paper

32. ARMA Representation of Two-Factor Models. (2002). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-92.

    Full description at Econpapers || Download paper

33. Realised power variation and stochastic volatility models. (2001). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0118.

    Full description at Econpapers || Download paper

34. Econometric analysis of realised volatility and its use in estimating stochastic volatility models. (2001). Shephard, Neil ; Barndorff-Nielsen, Ole.
    In: Economics Papers.
    RePEc:nuf:econwp:0104.

    Full description at Econpapers || Download paper

35. A Theoretical Comparison Between Integrated and Realized Volatilies. (2001). Meddahi, Nour.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2001-26.

    Full description at Econpapers || Download paper

36. Estimating stochastic volatility diffusion using conditional moments of integrated volatility. (2001). Zhou, Hao ; Bollerslev, Tim.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2001-49.

    Full description at Econpapers || Download paper

37. Modelling Scale-Consistent VaR with the Truncated Lévy Flight. (2001). Wolff, Christian ; Lehnert, Thorsten.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:2711.

    Full description at Econpapers || Download paper

38. A Theoretical Comparison Between Integrated and Realized Volatilities. (2001). Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2001s-71.

    Full description at Econpapers || Download paper

39. A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?. (2001). Lunde, Asger ; Hansen, Peter.
    In: Working Papers.
    RePEc:bro:econwp:2001-04.

    Full description at Econpapers || Download paper

40. Properties of Estimates of Daily GARCH Parameters Based on Intra-Day Observations. (2000). Zinde-Walsh, Victoria ; Galbraith, John.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1800.

    Full description at Econpapers || Download paper

41. Temporal Aggregation of Volatility Models. (2000). Renault, Eric ; Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2000s-22.

    Full description at Econpapers || Download paper

42. Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions. (1999). Hautsch, Nikolaus.
    In: Finance.
    RePEc:wpa:wuwpfi:9904002.

    Full description at Econpapers || Download paper

43. The Distribution of Exchange Rate Volatility. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-059.

    Full description at Econpapers || Download paper

44. Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market. (1999). Lopez, Jose ; Fleming, Michael.
    In: Staff Reports.
    RePEc:fip:fednsr:82.

    Full description at Econpapers || Download paper

45. Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market. (1999). Lopez, Jose ; Fleming, Michael.
    In: Working Papers in Applied Economic Theory.
    RePEc:fip:fedfap:99-09.

    Full description at Econpapers || Download paper

46. Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange. (1998). Tay, Anthony S ; Hahn, Jinyong ; Diebold, Francis.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:99-05.

    Full description at Econpapers || Download paper

47. Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange. (1998). Tay, Anthony S ; Hahn, Jinyong ; Diebold, Francis.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6845.

    Full description at Econpapers || Download paper

48. Testing for Market Microstructure Effects in Intraday Volatility: A Reassessment of the Tokyo FX Experiment. (1998). Bollerslev, Tim ; Das, Ashish ; Anderson, Torben G..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6666.

    Full description at Econpapers || Download paper

49. Time-varying volatility in Canadian and U.S. stock index and index futures markets: A multivariate analysis. (1998). Ackert, Lucy ; Racine, Marie D..
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:98-14.

    Full description at Econpapers || Download paper

50. Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts. (1997). Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6023.

    Full description at Econpapers || Download paper

Report date: 2025-03-12 05:34:46 || Missing content? Let us know