The impact of news on the exchange rate of the lira and long-term interest rates

Multivariate Simultaneous Generalized ARCH

Robert F. Engle, Kenneth F. Kroner · Econometric Theory · 1995 · 4.6K citations

Engineering, Mathematics, Statistical Modeling +16

Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model

Tim Bollerslev · The Review of Economics and Statistics · 1990 · 3.6K citations

Social Sciences, Economics, Econometrics +15

How Markets Process Information: News Releases and Volatility

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

Business, Economics, Finance +14

Stock Prices, News, and Business Conditions

Grant McQueen, V. Vance Roley · Review of Financial Studies · 1993 · 690 citations · Full text

Business, Economics, Finance +16

The Impact of Public Information on the Stock Market

Mark L. Mitchell, J. Harold Mulherin · The Journal of Finance · 1994 · 534 citations

Business, Economics, Finance +14