Macroannouncements, bond auctions and rating actions in the European government bond spreads

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

Torben G. Anderson, Tim Bollerslev, Francis X. Diebold et al. · American Economic Review · 2003 · 1.4K citations

Real-time Price Discovery, Market Microstructure, Conditional Means +18

Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies

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

Volatility Modeling, Time Series Econometrics, International Finance +16

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

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold et al. · Journal of International Economics · 2007 · 1.2K citations

Global Markets, Financial Economics, International Finance +10

The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models

Refet S. Gürkaynak, Brian Sack, Eric T. Swanson · American Economic Review · 2005 · 1K citations

Long-term Interest Rates, Economics, Term Structure Model +11

Economic News and Bond Prices: Evidence from the U.S. Treasury Market

Pierluigi Balduzzi, Edwin J. Elton, T. Clifton Green · Journal of Financial and Quantitative Analysis · 2001 · 921 citations

Empirical Finance, Term Structure Model, U.s. Treasury Market +16