Browsing by Keywords "High-frequency data"
Now showing items 1-4 of 4
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Exchange rate volatility response to macroeconomic news during the global financial crisis
(Elsevier Inc., 2017)We investigate the volatility reaction to macroeconomic news in major currency markets during the recent global financial crisis. We first present an alternative method for determining the changes in economic states by ... -
Missing events in event studies: Identifying the effects of partially measured news surprises
(American Economic Association, 2020)Macroeconomic news announcements are elaborate and multi-dimensional. We consider a framework in which jumps in asset prices around macroeconomic news and monetary policy announcements reflect both the response to observed ... -
The sign switch effect of macroeconomic news in foreign exchange markets
(Elsevier Ltd, 2016)We examine an unusual episode in the behavior of the euro, pound and yen exchange rate markets when the dollar appreciated (depreciated) against the three major currencies, in response to unfavorable (favorable) US growth ... -
The U.S. Treasury yield curve: 1961 to the present
(Elsevier BV, 2007)The discount function, which determines the value of all future nominal payments, is the most basic building block of finance and is usually inferred from the Treasury yield curve. It is therefore surprising that researchers ...
