Intraday Seasonalities and Macroeconomic News Announcements
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Cited by:
- Harju, Kari & Hussain, Syed Mujahid, 2006. "Intraday Linkages Across International Equity Markets," Working Papers 516, Hanken School of Economics.
- Steiner, Christian & Groß, Anne & Entorf, Horst, 2009. "Return and Volatility Reactions to Monthly Announcements of Business Cycle Forecasts: An Event Study Based on High-Frequency Data," ZEW Discussion Papers 09-010, ZEW - Leibniz Centre for European Economic Research.
- Barbara Będowska-Sójka, 2010. "Intraday CAC40, DAX and WIG20 returns when the American macro news is announced," Bank i Kredyt, Narodowy Bank Polski, vol. 41(2), pages 7-20.
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More about this item
Keywords
Macroeconomic surprises; intraday seasonality; Flexible Fourier Form; conditional mean; conditional volatility; information spillover;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-EEC-2006-09-23 (European Economics)
- NEP-ETS-2006-09-23 (Econometric Time Series)
- NEP-FMK-2006-09-23 (Financial Markets)
- NEP-MAC-2006-09-23 (Macroeconomics)
- NEP-MST-2006-09-23 (Market Microstructure)
- NEP-RMG-2006-09-23 (Risk Management)
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