Exchange rate volatility response to macroeconomic news during the global financial crisis

Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models

Timo Teräsvirta · Journal of the American Statistical Association · 1994 · 2.1K citations

Dynamic Economic Model, Economics, Econometric Model +12

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

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Volatility Modeling, Time Series Econometrics, International Finance +16

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

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Global Markets, Financial Economics, International Finance +10

Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model

Pietro Veronesi · Review of Financial Studies · 1999 · 1K citations

Empirical Finance, Volatility Modeling, Volatility Clustering +18