scholarly journals Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

2002 ◽  
Author(s):  
Torben G. Andersen ◽  
Tim Bollerslev ◽  
Francis X. Diebold ◽  
Clara Vega
Keyword(s):  
Real Time ◽  
Foreign Exchange ◽  
Price Discovery ◽  
Time Price

scholarly journals Real-time price discovery in global stock, bond and foreign exchange markets

2007 ◽  
Vol 73 (2) ◽  
pp. 251-277 ◽  
Author(s):  
Torben G. Andersen ◽  
Tim Bollerslev ◽  
Francis X. Diebold ◽  
Clara Vega
Keyword(s):  
Real Time ◽  
Foreign Exchange ◽  
Price Discovery ◽  
Foreign Exchange Markets ◽  
Exchange Markets ◽  
Time Price ◽  
Global Stock

scholarly journals Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets

2004 ◽  
Author(s):  
Torben G. Andersen ◽  
Clara Vega ◽  
Tim Bollerslev ◽  
Francis X. Diebold
Keyword(s):  
Real Time ◽  
Foreign Exchange ◽  
Price Discovery ◽  
Foreign Exchange Markets ◽  
Exchange Markets ◽  
Time Price

scholarly journals Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

2006 ◽  
Author(s):  
Torben G. Andersen ◽  
Clara Vega ◽  
Tim Bollerslev ◽  
Francis X. Diebold
Keyword(s):  
Real Time ◽  
Foreign Exchange ◽  
Price Discovery ◽  
Foreign Exchange Markets ◽  
Exchange Markets ◽  
Time Price ◽  
Global Stock

scholarly journals Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

2006 ◽  
Vol 2006 (871) ◽  
pp. 1-35
Author(s):  
Torben G. Andersen ◽  
◽  
Tim Bollerslev ◽  
Francis X. Diebold ◽  
Clara Vega
Keyword(s):  
Real Time ◽  
Foreign Exchange ◽  
Price Discovery ◽  
Foreign Exchange Markets ◽  
Exchange Markets ◽  
Time Price ◽  
Global Stock

scholarly journals Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets

2005 ◽  
Author(s):  
Torben Andersen ◽  
Tim Bollerslev ◽  
Francis Diebold ◽  
Clara Vega
Keyword(s):  
Real Time ◽  
Foreign Exchange ◽  
Price Discovery ◽  
Foreign Exchange Markets ◽  
Exchange Markets ◽  
Time Price

scholarly journals Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

10.3386/w8959 ◽  
2002 ◽  
Author(s):  
Torben Andersen ◽  
Tim Bollerslev ◽  
Francis Diebold ◽  
Clara Vega
Keyword(s):  
Real Time ◽  
Foreign Exchange ◽  
Price Discovery ◽  
Time Price

scholarly journals Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

2003 ◽  
Vol 93 (1) ◽  
pp. 38-62 ◽  
Author(s):  
Torben G Anderson ◽  
Tim Bollerslev ◽  
Francis X Diebold ◽  
Clara Vega
Keyword(s):  
Exchange Rate ◽  
Real Time ◽  
Price Discovery ◽  
Theoretical Work ◽  
Good News ◽  
Data Set ◽  
Exchange Rate Dynamics ◽  
Recent Theoretical Work ◽  
Time Price ◽  
Conditional Means

Using a new data set consisting of six years of real-time exchange-rate quotations, macroeconomic expectations, and macroeconomic realizations, we characterize the conditional means of U.S. dollar spot exchange rates. In particular, we find that announcement surprises produce conditional mean jumps; hence high-frequency exchange-rate dynamics are linked to fundamentals. The details of the linkage are intriguing and include announcement timing and sign effects. The sign effect refers to the fact that the market reacts to news in an asymmetric fashion: bad news has greater impact than good news, which we relate to recent theoretical work on information processing and price discovery.

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