The effects of economic news on commodity prices

Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

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A forecast comparison of volatility models: does anything beat a GARCH(1,1)?

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

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

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Business, Economics, Finance +16

Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information

Michael J. Fleming, Eli M. Remolona · The Journal of Finance · 1999 · 726 citations · Full text

Business, Economics, Finance +17