Public information releases, private information arrival and volatility in the foreign exchange market

By Ramon P. DeGennaro, R. Shrieves. 1997

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Citations in the corpus

Textual Sentiment in Finance: A Survey of Methods and Models (2014, background): “reports includes Tetlock (2007), Engelberg(2008), Tetlock et al.”
Intraday periodicity, long memory volatility, and macroeconomic announcement effects in the US Treasury bond market (2000, background): “Ž . include Ito and Roley 1987 , Goodhart et al. 1993 , DeGennaro and Shrieves 1997 , and Payne Ž .”
Macroeconomic News Announcements and the Role of Expectations: Evidence for US Bond, Stock and Foreign Exchange Markets (2005, background): “…Roley, 1993, Sun and Tong, 2000), the foreign exchange rate market (see inter alia Ito and Roley, 1987, Hardouvelis, 1988, Ederington and Lee, 1994, DeGennaro and Shreives, 1997, Almeida, Goodhart and Payne, 1998), and the bond market (see inter alia Becker, Finnerty and Kopecky, 1996, Jones,…”
Intraday and interday volatility in the Japanese stock market (2000, background): “Similarly, Goodhart et al. (1993), DeGennaro and Shrieves (1997), and Payne (1996) report significant news effects in high-frequency foreign exchange spot rates.”
Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery (2007, unknown): “In addition, various studies document that the U.S. employment report inﬂuences the volatility of bond and foreign exchange markets (e.g. Ederington and Lee 1993, 1995, Crain and Lee, DeGennaro and Shrieves 1997, Andersen and Bollerslev 1998 Jones, Lamont, and Lumsdaine, 1998 Fleming and Remolona 19”
When do central bank interventions influence intra-daily and longer-term exchange rate movements? (2006, unknown): “DeGennaro and Shrieves (1997) , Evans and Lyons (2002b) and Bauwens et al. (2005) provide empirical support for this hypothesis.”
Public Information Arrival, Exchange Rate Volatility, and Quote Frequency (2000, background): “Studies closest in approach to ours but focusing on the impact of specific types of news are Andersen and Bollerslev (1998), DeGennaro and Shrieves (1997), and Payne (1996).”
How is Macro News Transmitted to Exchange Rates (2008, unknown): “4See, for example, Goodhart et al. (1993), DeGennaro and Shrieves (1997) , Andersen and Bollerslev (1998), and Melvin”
Talking heads : the effects of ECB statements on the euro-dollar exchange rate (2005, background): “The papers of Ederington and Lee (1993) and Goodhart, Hall, Henry and Pesaran (1993) combine these two aspects.”