Intraday jumps and US macroeconomic news announcements

By Kevin P. Evans. 2011

141 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/f48d9d12a173b3c313cfc00cc7e159bcd0e2436a

Citations in the corpus

• Systemic Co-Jumps (2017, unknown): “The systemic component can be associated with news, as shown in the empirical work of Lee (2012), Evans (2011), and Gilder et al. (2014).”
• The impact of macroeconomic news on Bitcoin returns (2020, unknown): “The influence of U.S. macroeconomic announcements has also been established for the U.S. futures markets (Evans [2011]), options markets (Verousis et al. [2016]), Treasury bond yields (Altavilla et al. [2017]), foreign exchange markets (Faust et al. [2007];)”