Impact of news announcements on the foreign exchange implied volatility

An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias

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

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Torben G. Andersen, Tim Bollerslev · The Journal of Finance · 1998 · 1.2K citations

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How Markets Process Information: News Releases and Volatility

Louis H. Ederington, Jaeha Lee · The Journal of Finance · 1993 · 989 citations

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Central bank intervention and exchange rate volatility

Kathryn M.E. Dominguez · Journal of International Money and Finance · 1998 · 455 citations

Social Sciences, Economics, Finance +13