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Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information. (1999). Remolona, Eli ; Fleming, Michael.
In: Journal of Finance.
RePEc:bla:jfinan:v:54:y:1999:i:5:p:1901-1915.

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  90. Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data. (2017). Uctum, Remzi ; Prat, Georges ; Lecarpentiermoyal, Sylvie ; Renoumaissant, Patricia.
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  91. Essays in empirical finance and monetary policy. (2017). van Holle, Frederiek.
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  92. Does It Matter If Statistical Agencies Frame the Month’s CPI Reporton a 1-Month or 12-month Basis?. (2017). Saiki, Ayako ; Frankel, Jeffrey.
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  93. An index of Treasury Market liquidity: 1991-2017. (2017). Vogt, Erik ; Fleming, Michael ; Adrian, Tobias.
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  94. Bond Market Intermediation and the Role of Repo. (2017). Infante, Sebastian ; Huh, Yesol.
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  95. Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data. (2017). Uctum, Remzi ; Lecarpentier-Moyal, Sylvie ; Prat, Georges ; Renou-Maissant, Patricia.
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  96. Macroeconomic factors and index option returns. (2017). Lai, Ya-Wen.
    In: International Review of Economics & Finance.
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  97. An empirical analysis of algorithmic trading around earnings announcements. (2017). Zheng, Hui ; Prodromou, Tina ; Westerholm, Joakim P ; Frino, Alex.
    In: Pacific-Basin Finance Journal.
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  98. Is the intrinsic value of a macroeconomic news announcement related to its asset price impact?. (2017). Strasser, Georg ; Vega, Clara ; Scotti, Chiara ; Gilbert, Thomas.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:92:y:2017:i:c:p:78-95.

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  99. Heterogeneous traders, liquidity, and volatility in crude oil futures market. (2017). Ray, Rina ; Haugom, Erik.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:5:y:2017:i:c:p:36-49.

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  100. Impact of interest rate surprises on Islamic and conventional stocks and bonds. (2017). Akhtar, Farida ; John, Kose ; Jahromi, Maria.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:79:y:2017:i:c:p:218-231.

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  101. Realized (co)variances of eurozone sovereign yields during the crisis: The impact of news and the Securities Markets Programme. (2017). Beetsma, Roel ; Widijanto, Daniel ; Giuliodori, Massimo ; de Jong, Frank.
    In: Journal of International Money and Finance.
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  102. Early peek advantage? Efficient price discovery with tiered information disclosure. (2017). Wang, Jiang ; Pan, Jun ; Hu, Grace Xing.
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    RePEc:eee:jfinec:v:126:y:2017:i:2:p:399-421.

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  103. Understanding the impact of monetary policy announcements: The importance of language and surprises. (2017). Smales, Lee ; Apergis, Nicholas.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:80:y:2017:i:c:p:33-50.

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  104. Liquidity measures throughout the lifetime of the U.S. Treasury bond. (2017). Diaz, Antonio ; Escribano, Ana .
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  105. Is information assimilated at announcements in the European carbon market?. (2017). Bredin, Don ; Muckley, Cal B ; Chen, Jiayuan .
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    RePEc:eee:eneeco:v:63:y:2017:i:c:p:234-247.

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  106. Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements. (2017). Gau, Yin-Feng ; Hsu, Chih-Chiang ; Chang, Ya-Ting.
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  107. Monetary policys rising FX impact in the era of ultra-low rates. (2017). Schrimpf, Andreas ; Kearns, Jonathan ; Ferrari, Massimo.
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  108. Does Public News Decrease Information Asymmetries? Evidence from the Weekly Petroleum Status Report. (2017). Crego, Julio A.
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  109. Does Public News Decrease Information Asymmetries? Evidence from the Weekly Petroleum Status Report. (2017). Crego, Julio A.
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  110. Monetary policys rising FX impact in the era of ultra-low rates. (2017). Schrimpf, Andreas ; Minesso Ferrari, Massimo ; Kearns, Jonathan.
    In: BIS Working Papers.
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  111. Banking Regulation and Market Making. (2017). Garriott, Corey ; Cimon, David.
    In: Staff Working Papers.
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  112. How has sovereign bond market liquidity changed? An illiquidity spillover analysis. (2016). Pelizzon, Loriana ; Schneider, Michael ; Lillo, Fabrizio.
    In: SAFE Working Paper Series.
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  113. Exchange Rates and Monetary Policy Uncertainty. (2016). Tahbaz-Salehi, Alireza ; Vedolin, Andrea ; Mueller, Philippe.
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  114. A Literature Review of the Efficient Market Hypothesis. (2016). Fakhry, Bachar.
    In: Turkish Economic Review.
    RePEc:ksp:journ2:v:3:y:2016:i:3:p:431-442.

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  115. On the impact of macroeconomic news surprises on Treasury-bond returns. (2016). Mignon, Valérie ; El Ouadghiri, Imane ; Boitout, Nicolas.
    In: Annals of Finance.
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  116. The Intraday Market Liquidity of Japanese Government Bond Futures. (2016). Be, Toshiaki Watana ; Tsuchida, Naoshi ; Yoshiba, Toshinao ; Watanabe, Toshiaki.
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  117. Forecasting Limit Order Book Liquidity Supply-Demand Curves with Functional AutoRegressive Dynamics. (2016). Härdle, Wolfgang ; Chua, Wee Song ; Hardle, Wolfgang K ; Chen, Ying.
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  118. Is the Intrinsic Value of Macroeconomic News Announcements Related to their Asset Price Impact?. (2016). Strasser, Georg ; Scotti, Chiara ; Vega, Clara ; Gilbert, Thomas.
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  119. Estimating Probability of Informed Trading on the Bucharest Stock Exchange. (2016). Cepoi, Cosmin Octavian ; Toma, Filip Mihai .
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    RePEc:fau:fauart:v:66:y:2016:i:3:p:140-160.

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  120. Order aggressiveness of different broker-types in response to monetary policy news. (2016). Smales, Lee.
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  121. Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina?. (2016). Pelizzon, Loriana ; Uno, Jun ; Tomio, Davide ; Subrahmanyam, Marti G.
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  122. Can information be locked up? Informed trading ahead of macro-news announcements. (2016). Tang, Yuehua ; Hu, Jianfeng ; Bernile, Gennaro.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:121:y:2016:i:3:p:496-520.

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  123. Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns. (2016). Todorov, Viktor ; Li, Sophia Zhengzi ; Bollerslev, Tim.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:120:y:2016:i:3:p:464-490.

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  124. Currency momentum, carry trade, and market illiquidity. (2016). Orlov, Vitaly.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:67:y:2016:i:c:p:1-11.

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  125. Media sentiment and CDS spread spillovers: Evidence from the GIIPS countries. (2016). Apergis, Nicholas ; Yarovaya, Larisa ; Keung, Marco Chi.
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  126. Cross-correlations between volatility, volatility persistence and stock market integration: the case of emergent stock markets. (2016). Todea, Alexandru.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:87:y:2016:i:c:p:208-215.

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  127. Is the intrinsic value of macroeconomic news announcements related to their asset price impact?. (2016). Strasser, Georg ; Scotti, Chiara ; Vega, Clara ; Gilbert, Thomas.
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  128. Spillover Effects of United States’ Unconventional Monetary Policy on Korean Bond Markets: Evidence from High-Frequency Data. (2016). Young, KI ; Yong, JI.
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  129. Analyzing the impact of monetary policy on financial markets in Chile. (2016). girardin, eric ; Garcia Herrero, Alicia ; Garca-Herrero, Alicia ; Gonzlez, Hermann Esteban .
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  130. Intraday Market Effects in Electronic Soybean Futures Market during Non-Trading and Trading Hour Announcements. (2016). Garcia, Philip ; Joseph, Kishore .
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  131. Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina?. (2015). Pelizzon, Loriana ; Tomio, Davide ; Subrahmanyam, Marti G. ; Uno, Jun.
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  132. Macroeconomic News and Price Discovery in Indonesian Government Bond Market. (2015). Ervina, Dahlia.
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  133. Commodity Prices and Macroeconomic Variables in India: An Auto-Regressive Distributed Lag (ARDL) Approach. (2015). Jena, Pratap Kumar .
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  134. Heterogeneity in Macroeconomic News Expectations: A disaggregate level analysis. (2015). el Ouadghiri, Imane.
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  135. Food price volatility and farmers production decisions under imperfect information. (2015). Maillet, Anais .
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  136. Price and size discovery in financial markets: evidence from the U.S. Treasury securities market. (2015). Fleming, Michael ; Nguyen, Giang.
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  137. Monetary policy and long-term real rates. (2015). Stein, Jeremy ; Hanson, Samuel.
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  138. Herding on fundamental information: A comparative study. (2015). Spyrou, Spyros ; Galariotis, Emilios C. ; Rong, Wu.
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  139. Transmission of sovereign risk in the Euro crisis. (2015). Sauré, Philip ; Brutti, Filippo ; Saure, Philip.
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  140. The importance of belief dispersion in the response of gold futures to macroeconomic announcements. (2015). Smales, Lee ; Yang, YI.
    In: International Review of Financial Analysis.
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  141. Inventory announcements, jump dynamics, volatility and trading volume in U.S. energy futures markets. (2015). Gentle, James E. ; Wang, George H. K., ; Bjursell, Johan .
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  142. Macroeconomic news announcements and price discovery: Evidence from Canadian–U.S. cross-listed firms. (2015). Tourani-Rad, Alireza ; Frijns, Bart ; Indriawan, Ivan.
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  143. The impact of ECB macro-announcements on bid–ask spreads of European blue chips. (2015). Stein, Michael ; Ruhl, Tobias R..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:31:y:2015:i:c:p:54-71.

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  144. Corporate innovation, default risk, and bond pricing. (2015). HSU, Po-Hsuan ; Zhang, Zhipeng ; Liu, Alfred Zhu ; Lee, Hsiao-Hui.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:35:y:2015:i:c:p:329-344.

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  145. Heterogeneity in Macroeconomic News Expectations: A disaggregate level analysis. (2015). El Ouadghiri, Imane.
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  146. Expectations and risk premia at 8:30am: Macroeconomic announcements and the yield curve. (2015). Valente, Giorgio ; Remolona, Eli ; Hördahl, Peter ; Hordahl, Peter.
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  147. Mexico’s monetary policy communication and money markets. (2015). Lopez Marmolejo, Arnoldo ; girardin, eric ; Garcia Herrero, Alicia ; Garcia-Herrero, Alicia.
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  148. Follow what I do and also what I say: monetary policy impact on Brazil’s financial markets. (2015). girardin, eric ; Garcia Herrero, Alicia ; Garcia-Herrero, Alicia ; Santos, Enestor Dos.
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  149. The Effects of Contagion During the Global Financial Crisis in Government-Regulated and Sponsored Assets in Emerging Markets. (2014). Cayon, Edgardo.
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  150. The Effects of Contagion During the Global Financial Crisis in Government-Regulated and Sponsored Assets in Emerging Markets. (2014). Cayon, Edgardo.
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  151. Italian Government debt liquidity, is it of value?. (2014). Maggi, Bernardo ; delle Chiaie, Simona.
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  152. The absorption effect of US Treasury auctions. (2014). Kopchak, Seth.
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  153. Timing Ability of Government Bond Fund Managers: Evidence from Portfolio Holdings. (2014). Wang, Ying ; Huang, Jing-Zhi.
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  154. Inflation Expectations and the News. (2014). Bauer, Michael.
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  155. The impact of economic news on bond prices: Evidence from the MTS platform. (2014). Paiardini, Paola.
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  156. Private information flow and price discovery in the U.S. treasury market. (2014). Lo, Ingrid ; Jiang, George J..
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  157. How does public information affect the frequency of trading in airline stocks?. (2014). Nowak, Sylwia ; Anderson, Heather.
    In: Journal of Banking & Finance.
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  158. Speed, algorithmic trading, and market quality around macroeconomic news announcements. (2014). van Dijk, Dick ; Frijns, Bart ; Scholtus, Martin .
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  159. Are trading imbalances indicative of private information?. (2014). Stoll, Hans R. ; Kim, Sukwon Thomas .
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  160. Order flow and volatility: An empirical investigation. (2014). van der Wel, Michel ; van Dijk, Dick ; Taylor, Nick ; Opschoor, Anne.
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  161. Trading activity in the equity market and its contingent claims: An empirical investigation. (2014). Subrahmanyam, Avanidhar ; Roll, Richard ; Schwartz, Eduardo .
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  162. Risk-free rate effects on conditional variances and conditional correlations of stock returns. (2014). Palandri, Alessandro.
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  163. Impact of macroeconomic surprises on the Brazilian yield curve and expected inflation. (2014). Moura, Marcelo L. ; GAIO, RAFAEL L..
    In: The North American Journal of Economics and Finance.
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  164. Economic surprises and inflation expectations: Has anchoring of expectations survived the crisis?. (2014). Grothe, Magdalena ; Autrup, Soren Lejsgaard .
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  165. The impact of news and the SMP on realized (co)variances in the eurozone sovereign debt market. (2014). Giuliodori, Massimo ; Beetsma, Roel ; Widijanto, Daniel ; de Jong, Frank.
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  166. On the impact of macroeconomic news surprises on Treasury-bond yields. (2014). Mignon, Valérie ; El Ouadghiri, Imane ; Boitout, Nicolas.
    In: EconomiX Working Papers.
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  167. The Impact of News and the SMP on Realized (Co)Variances in the Eurozone Sovereign Debt Market. (2014). Giuliodori, Massimo ; Beetsma, Roel ; Widijanto, Daniel ; de Jong, Frank.
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  168. Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns. (2014). Bollerslev, Tim ; Todorov, Viktor ; Li, Sophia Zhengzi.
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  169. RBI’s Monetary Policy and Macroeconomic Announcements: Impact on S&P CNX Nifty VIX. (2013). shaikh, imlak ; Padhi, Puja.
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  170. Time variation in asset price responses to macro announcements. (2013). Grisse, Christian ; Goldberg, Linda.
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  171. Time Variation in Asset Price Responses to Macro Announcements. (2013). Grisse, Christian ; Goldberg, Linda.
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  172. The boats that did not sail: Asset Price Volatility and Market Efficiency in a Natural Experiment. (2013). Koudijs, Peter.
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  173. PRICE DISCOVERY IN THE ITALIAN SOVEREIGN BONDS MARKET: THE ROLE OF ORDER FLOW. (2013). Girardi, Alessandro ; Impenna, Claudio .
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  174. Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data. (2013). Renou-Maissant, Patricia ; Lecarpentier-Moyal, Sylvie ; Uctumd, Remzi .
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  175. Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data. (2013). Uctum, Remzi ; Prat, Georges ; Moyal, Sylvie Lecarpentier ; Maissant, Patricia Renou .
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  176. Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data. (2013). Renou-Maissant, Patricia ; Lecarpentier-Moyal, Sylvie ; Uctumd, Remzi .
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  177. Price Discovery in the U.S. Treasury Market: Automation vs. Intermediation. (2013). Wang, Junbo ; Wu, Chunchi ; Man, Kasing .
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  178. Chinas Monetary Policy Communication: Money Markets not only Listen, They also Understand. (2013). girardin, eric ; Garcia Herrero, Alicia ; Garcia-Herrero, Alicia.
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  179. Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data. (2013). Uctum, Remzi ; Renou-Maissant, Patricia ; Prat, Georges ; Lecarpentier-Moyal, Sylvie.
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  180. Time variation in asset price responses to macro announcements. (2013). Grisse, Christian ; Goldberg, Linda.
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  181. The financial market effect of FOMC minutes. (2013). Rosa, Carlo.
    In: Economic Policy Review.
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  182. Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data. (2013). Uctum, Remzi ; Renou-Maissant, Patricia ; Prat, Georges ; Lecarpentier-Moyal, Sylvie.
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  183. The relation of trade size and price contribution in a traditional foreign exchange brokered market. (2013). Liu, Hao-Chen ; Ligon, James A..
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:21:y:2013:i:1:p:1024-1045.

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  184. Spread the news: The impact of news on the European sovereign bond markets during the crisis. (2013). Giuliodori, Massimo ; de Jong, Frank ; Beetsma, Roel ; Widijanto, Daniel .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:34:y:2013:i:c:p:83-101.

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  185. Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data. (2013). Uctum, Remzi ; Prat, Georges ; Renou-Maissant, Patricia ; Lecarpentier-Moyal, Sylvie.
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  186. Identification and Inference Using Event Studies. (2013). Gürkaynak, Refet ; Wright, Jonathan.
    In: CEPR Discussion Papers.
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  187. Greenspan Shrugs: Central Bank Communication, Formal Pronouncements and Bond Market Volatility. (2013). Chirinko, Bob ; Curran, Christopher .
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  188. Identification and Inference Using Event Studies. (2013). Gürkaynak, Refet ; Wright, Jonathan H. ; Gurkaynak, Refet S..
    In: Manchester School.
    RePEc:bla:manchs:v:81:y:2013:i::p:48-65.

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  189. IMPACT OF MACROECONOMIC ANNOUNCEMENTS ON INTEREST RATE FUTURES: HIGH-FREQUENCY EVIDENCE FROM AUSTRALIA. (2013). Smales, Lee.
    In: Journal of Financial Research.
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  190. Price discovery in the Italian sovereign bonds market: the role of order flow. (2013). Girardi, Alessandro ; Impenna, Claudio .
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_906_13.

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  191. Stale Information, Shocks, and Volatility. (2012). Kadareja, Arjan ; Gropp, Reint.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:44:y:2012:i:6:p:1117-1149.

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  192. Investor Inattention and the Market Impact of Summary Statistics. (2012). Ozyildirim, Ataman ; Gilbert, Thomas ; Kogan, Shimon ; Lochstoer, Lars .
    In: Management Science.
    RePEc:inm:ormnsc:v:58:y:2012:i:2:p:336-350.

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  193. On bounding credit event risk premia. (2012). Helwege, Jean ; Goldstein, Robert S. ; Collin-Dufresne, Pierre ; Bai, Jennie.
    In: Staff Reports.
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  194. Quoted spreads and trade imbalance dynamics in the European Treasury bond market. (2012). Paesani, Paolo ; Girardi, Alessandro ; Caporale, Guglielmo Maria.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:52:y:2012:i:2:p:173-182.

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  195. Economy with the time delay of information flow—The stock market case. (2012). Mikiewicz, Janusz .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:391:y:2012:i:4:p:1388-1394.

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  196. Price adjustment to news with uncertain precision. (2012). Hautsch, Nikolaus ; Mller, Christoph ; Hess, Dieter .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:31:y:2012:i:2:p:337-355.

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  197. 30-Day Interbank futures: Investigating the process of price discovery following RBA cash target rate announcements. (2012). Smales, Lee.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:22:y:2012:i:4:p:1006-1023.

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  198. Spread the News: How the Crisis Affected the Impact of News on the European Sovereign Bond Markets. (2012). Giuliodori, Massimo ; de Jong, Frank ; Beetsma, Roel ; Widijanto, Daniel .
    In: CEPR Discussion Papers.
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  199. The Financial Crisis and the Changing Dynamics of the Yield Curve. (2012). Lengwiler, Yvan ; Bech, Morten.
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  200. The financial crisis and the changing dynamics of the yield curve. (2012). Bech, Morten L ; Lengwiler, Yvan.
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  201. Trading networks, abnormal motifs and stock manipulation. (2012). W.-X. Zhou, ; Jiang, Zhi-Qiang ; Zhang, Yong-Jie ; Xiong, Xiong ; Xie, Wen-Jie ; W. -X. Zhou, .
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  202. Electronic versus open outcry trading in agricultural commodities futures markets. (2011). Kittiakarasakun, Jullavut ; Tse, Yiuman ; Gupta, Paramita ; Martinez, Valeria.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:20:y:2011:i:1:p:28-36.

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  203. Stocks, bonds, money markets and exchange rates: measuring international financial transmission. (2011). Rigobon, Roberto ; Fratzscher, Marcel ; Ehrmann, Michael.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:26:y:2011:i:6:p:948-974.

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  204. Lets Twist Again: A High-Frequency Event-Study Analysis of Operation Twist and Its Implications for QE2. (2011). Swanson, Eric.
    In: 2011 Meeting Papers.
    RePEc:red:sed011:982.

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  205. Stock Price Response to Earnings Announcements: Evidence from the Nigerian Stock Market. (2011). Afego, Pyemo.
    In: MPRA Paper.
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  206. The pre-FOMC announcement drift. (2011). Moench, Emanuel ; Lucca, David.
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  207. Let’s twist again: a high-frequency event-study analysis of operation twist and its implications for QE2. (2011). Swanson, Eric.
    In: Working Paper Series.
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  208. Electronic versus open outcry trading in agricultural commodities futures markets. (2011). Kittiakarasakun, Jullavut ; Tse, Yiuman ; Martinez, Valeria ; Gupta, Paramita .
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:20:y:2011:i:1:p:28-36.

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  209. Information aggregation around macroeconomic announcements: Revisions matter. (2011). Gilbert, Thomas.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:101:y:2011:i:1:p:114-131.

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  210. Simultaneous monetary policy announcements and international stock markets response: An intraday analysis. (2011). Hussain, Syed Mujahid.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:3:p:752-764.

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  211. The high-frequency response of exchange rates to monetary policy actions and statements. (2011). Rosa, Carlo.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:2:p:478-489.

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  212. The impact of macroeconomic news on quote adjustments, noise, and informational volatility. (2011). Veredas, David ; Hautsch, Nikolaus ; Hess, Dieter .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:10:p:2733-2746.

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  213. Macroeconomic fundamentals, price discovery, and volatility dynamics in emerging bond markets. (2011). Tamirisa, Natalia ; Nowak, Sylwia ; Jobst, Andreas ; Andritzky, Jochen.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:10:p:2584-2597.

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  214. Realized volatility and the influence of market measures on predictability: Analysis of Nord Pool forward electricity data. (2011). Haugom, Erik ; Westgaard, Sjur ; Solibakke, Per Bjarte ; Lien, Gudbrand.
    In: Energy Economics.
    RePEc:eee:eneeco:v:33:y:2011:i:6:p:1206-1215.

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  215. The fed and the term structure: Addressing simultaneity within a structural VAR model. (2011). Farka, Mira ; DaSilva, Amadeu .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:5:p:935-952.

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  216. When machines read the news: Using automated text analytics to quantify high frequency news-implied market reactions. (2011). Hautsch, Nikolaus ; Gro-Klumann, Axel .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:2:p:321-340.

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  217. Size, book-to-market ratio and macroeconomic news. (2011). Cenesizoglu, Tolga.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:2:p:248-270.

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  218. The more we know on the fundamental, the less we agree on the price. (2011). Kondor, Péter.
    In: CEPR Discussion Papers.
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  219. Lets Twist Again: A High-Frequency Event-study Analysis of Operation Twist and Its Implications for QE2. (2011). Swanson, Eric.
    In: Brookings Papers on Economic Activity.
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  220. The Determinants of Future U.S. Monetary Policy: High‐Frequency Evidence. (2010). Taylor, Nicholas.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:42:y:2010:i:2-3:p:399-420.

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  221. From Trade-to-Trade in US Treasuries. (2010). Henry, Ólan ; Dungey, Mardi.
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  222. Short horizon liquidity and trading activity in the US Treasury market: do inventory holding costs matter?. (2010). Khang, Kenneth ; King, Tao-Hsien Dolly .
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  223. Is Credit Event Risk Priced? Modeling Contagion via the Updating of Beliefs.. (2010). Helwege, Jean ; Goldstein, Robert S. ; Collin-Dufresne, Pierre.
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  224. Evolving Perceptions of Central Bank Credibility: The European Central Bank Experience. (2010). Goldberg, Linda S. ; Klein, Michael W..
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  225. A survey of announcement effects on foreign exchange returns. (2010). Neely, Christopher ; Dey, Rubun S..
    In: Review.
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  226. The effects of economic news on commodity prices. (2010). Rossi, Marco ; Roache, Shaun K..
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:50:y:2010:i:3:p:377-385.

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  227. Sign and phase asymmetry: News, economic activity and the stock market. (2010). Shields, K ; Henry, Ólan ; Olekalns, Nilss.
    In: Journal of Macroeconomics.
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  228. Measuring the timing ability and performance of bond mutual funds. (2010). Peters, Helen ; Chen, Yong ; Ferson, Wayne .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:98:y:2010:i:1:p:72-89.

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  229. Gold prices, cost of carry, and expected inflation. (2010). Blose, Laurence E..
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:62:y:2010:i:1:p:35-47.

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  230. Dynamic news effects in high frequency Euro exchange rates. (2010). Evans, Kevin P. ; Speight, Alan E. H., .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:20:y:2010:i:3:p:238-258.

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  231. Phase-transition behavior in the emerging market: Evidence from the KOSPI200 futures market. (2010). Ryu, Doojin ; Hwang, Keunho ; Kang, Jangkoo.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:19:y:2010:i:1:p:35-46.

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  232. Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets. (2010). Loretan, Mico ; Hjalmarsson, Erik ; Chaboud, Alain P. ; Chiquoine, Benjamin .
    In: Journal of Empirical Finance.
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  233. Price and trading response to public information. (2010). Malinowska, Magdalena .
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  234. Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market. (2010). Paesani, Paolo ; Girardi, Alessandro ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
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  235. Intraday Behavior of Stock Prices and Trades around Insider Trading. (2010). Lu, Biao ; Seyhun, Nejat H. ; Inci, Can A..
    In: Financial Management.
    RePEc:bla:finmgt:v:39:y:2010:i:1:p:323-363.

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  236. The Price Impact of Economic News, Private Information and Trading Intensity. (2010). Paiardini, Paola.
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  237. Quantifying high-frequency market reactions to real-time news sentiment announcements. (2009). Hautsch, Nikolaus ; Gro-Klumann, Axel .
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  238. Electronic limit order book and order submission choice around macroeconomic news. (2009). Lasser, Dennis ; Erenburg, Grigori .
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:18:y:2009:i:4:p:172-182.

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  239. CONVERGENCE AND ANCHORING OF YIELD CURVES IN THE EURO AREA. (2009). Swanson, Eric ; Gürkaynak, Refet ; Fratzscher, Marcel ; Ehrmann, Michael.
    In: 2009 Meeting Papers.
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  240. Measuring the Timing Ability and Performance of Bond Mutual Funds. (2009). Ferson, Wayne ; Peters, Helen ; Chen, Yong.
    In: NBER Working Papers.
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  241. Macroeconomic announcements, communication and order flow on the Hungarian foreign exchange market. (2009). Pinter, Klara ; Frömmel, Michael ; Norbert Kiss M., ; Frommel, Michael.
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  242. Experimentation in Financial Markets. (2009). Simonov, Andrei ; Massa, Massimo.
    In: Management Science.
    RePEc:inm:ormnsc:v:55:y:2009:i:8:p:1377-1390.

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  243. The Effects of Economic News on Commodity Prices; Is Gold Just Another Commodity?. (2009). Rossi, Marco ; Roache, Shaun K.
    In: IMF Working Papers.
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  244. Fundamentals, Macroeconomic Announcements and Asset Prices. (2009). Belgacem, Aymen.
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  245. Are market makers uninformed and passive? Signing trades in the absence of quotes. (2009). van der Wel, Michel ; Sarkar, Asani ; Menkveld, Albert.
    In: Staff Reports.
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  246. The term structure of inflation expectations. (2009). Adrian, Tobias ; Wu, Hao.
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  247. The identification of the response of interest rates to monetary policy actions using market-based measures of monetary policy shocks. (2009). Thornton, Daniel.
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  248. Electronic limit order book and order submission choice around macroeconomic news. (2009). Lasser, Dennis ; Erenburg, Grigori .
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:18:y:2009:i:4:p:172-182.

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  249. Macroeconomic releases and the interest rate term structure. (2009). Wu, Liuren ; Lu, Biao.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:56:y:2009:i:6:p:872-884.

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  250. The high-frequency impact of news on long-term yields and forward rates: Is it real?. (2009). Beechey, Meredith ; Wright, Jonathan H..
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:56:y:2009:i:4:p:535-544.

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  251. International interest rates and US monetary policy announcements: Evidence from Hong Kong and Singapore. (2009). Valente, Giorgio.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:28:y:2009:i:6:p:920-940.

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  252. The response of global equity indexes to U.S. monetary policy announcements. (2009). Wongswan, Jon.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:28:y:2009:i:2:p:344-365.

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  253. Price discovery in the round-the-clock U.S. Treasury market. (2009). Wang, Junbo ; Lin, Hai ; Wu, Chunchi ; He, Yan.
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:18:y:2009:i:3:p:464-490.

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  254. Linear-quadratic term structure models - Toward the understanding of jumps in interest rates. (2009). Yan, Shu ; Jiang, George .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:3:p:473-485.

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  255. The effect of earnings surprises on information asymmetry. (2009). Lo, Kin ; Brown, Stephen ; Hillegeist, Stephen A..
    In: Journal of Accounting and Economics.
    RePEc:eee:jaecon:v:47:y:2009:i:3:p:208-225.

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  256. Empirical evidence on jumps in the term structure of the US Treasury Market. (2009). Smith, L. Vanessa ; Dungey, Mardi ; McKenzie, Michael .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:3:p:430-445.

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  257. The transmission of emerging market shocks to global equity markets. (2009). Thimann, Christian ; Fratzscher, Marcel ; Cuadro Sáez, Lucía ; Cuadro-Saez, Lucia .
    In: Journal of Empirical Finance.
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  258. Fundamentals, Macroeconomic Announcements and Asset Prices. (2009). Belgacem, Aymen.
    In: EconomiX Working Papers.
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  259. On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements. (2009). Pasquariello, Paolo ; Subrahmanyam, Marti ; Brenner, Menachem.
    In: Journal of Financial and Quantitative Analysis.
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  260. Measuring Investors Opinion Divergence. (2009). Garfinkel, Jon A..
    In: Journal of Accounting Research.
    RePEc:bla:joares:v:47:y:2009:i:5:p:1317-1348.

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  261. Market Sidedness: Insights into Motives for Trade Initiation. (2009). Sarkar, Asani ; Schwartz, Robert A..
    In: Journal of Finance.
    RePEc:bla:jfinan:v:64:y:2009:i:1:p:375-423.

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  262. The Effects of Interest Rate Movements on Assets’ Conditional Second Moments. (2009). Palandri, Alessandro.
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  263. Customer flow, intermediaries, and the discovery of the equilibrium riskfree rate. (2008). van der Wel, Michel ; Menkveld, Albert ; Sarkar, Asani.
    In: CFS Working Paper Series.
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  264. Price adjustment to news with uncertain precision. (2008). Hautsch, Nikolaus ; Muller, Christoph ; Hess, Dieter E..
    In: CFS Working Paper Series.
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  265. Noisy Macroeconomic Announcements, Monetary Policy, and Asset Prices. (2008). Sack, Brian ; Rigobon, Roberto.
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  266. Price Adjustment to News with Uncertain Precision. (2008). Hautsch, Nikolaus ; Muller, Christoph ; Hess, Dieter .
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  267. The high-frequency impact of news on long-term yields and forward rates: Is it real?. (2008). Wright, Jonathan ; Beechey, Meredith.
    In: Finance and Economics Discussion Series.
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  268. HOW DO PUBLIC ANNOUNCEMENTS AFFECT THE FREQUENCY OF TRADING IN U.S. AIRLINE STOCKS?. (2008). Nowak, Sylwia.
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  269. Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies. (2008). Wu, Liuren ; Bakshi, Gurdip ; Carr, Peter.
    In: Journal of Financial Economics.
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  270. Information shares in the US Treasury market. (2008). Neely, Christopher ; Mizrach, Bruce.
    In: Journal of Banking & Finance.
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  271. A Tale of Two Platforms: Dealer Intermediation in the European Sovereign Bond Market. (2008). Moore, Michael ; Hau, Harald ; Dunne, Peter.
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  272. Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market. (2008). Verdelhan, Adrien ; Lo, Ingrid ; Jiang, George J..
    In: Staff Working Papers.
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  273. Establishing Credibility: Evolving Perceptions of the European Central Bank. (2007). Klein, Michael ; Goldberg, Linda.
    In: The Institute for International Integration Studies Discussion Paper Series.
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  274. Liquidity, Competition & Price Discovery in the European Corporate Bond Market. (2007). Declerck, Fany ; Biais, Bruno.
    In: IDEI Working Papers.
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  275. Macro news, risk-free rates, and the intermediary: customer orders for thirty-year Treasury futures. (2007). van der Wel, Michel ; Menkveld, Albert ; Sarkar, Asani.
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  276. Market sidedness: insights into motives for trade initiation. (2007). Sarkar, Asani ; Schwartz, Robert A..
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  277. EMPIRICAL EVIDENCE ON JUMPS IN THE TERM STRUCTURE OF THE US TREASURY MARKET. (2007). Smith, L. Vanessa ; Dungey, Mardi ; McKenzie, Michael .
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  278. The high-frequency response of exchange rates and interest rates to macroeconomic announcements. (2007). Wright, Jonathan ; Wang, Shing-Yi ; Rogers, John ; Faust, Jon.
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  279. An empirical examination of intraday volatility in on-the-run U.S. Treasury bills. (2007). Winters, Drew B. ; Smith, Stanley D. ; Hughes, Michael P..
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  280. High frequency perspective on jump process, long memory property and temporal aggregation: Case of $-AUD exchange rates. (2007). Han, YoungWook .
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  281. Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models. (2007). Benzoni, Luca ; Andersen, Torben.
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  282. Macro Determinants of Total Factor Productivity in Pakistan. (2006). Gyntelberg, Jacob.
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  283. The effect of macroeconomic news on beliefs and preferences: Evidence from the options market. (2006). Beber, Alessandro ; Brandt, Michael W..
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  284. One minute in the life of the DM/US$: Public news in an electronic market. (2006). Carlson, John A. ; Lo, Melody.
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  285. Trading around macroeconomic announcements: Are all traders created equal?. (2006). Kurov, Alexander ; Erenburg, Grigori ; Lasser, Dennis J..
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  286. Volatility in an era of reduced uncertainty: Lessons from Pax Britannica. (2006). Burdekin, Richard ; Brown, William Jr., ; Weidenmier, Marc D..
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  287. Spanish Treasury bond market liquidity and volatility pre- and post-European Monetary Union. (2006). Diaz, Antonio ; Merrick, John Jr., ; Navarro, Eliseo .
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  288. Macroeconomic announcements and asymmetric volatility in bond returns. (2006). de Goeij, Peter ; Marquering, Wessel .
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  289. Intra-night trading behaviour of Australian treasury-bond futures overnight options. (2006). Rose, Lawrence ; Pinfold, John ; Zou, Liping .
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  290. Volume, Opinion Divergence, and Returns: A Study of Post-Earnings Announcement Drift. (2006). Garfinkel, Jon A. ; SOKOBIN, JONATHAN.
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  291. Macroeconomic News and Stock Returns in the United States and Germany. (2006). Matsuda, Akimi ; Funke, Norbert .
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  292. Developing corporate bond markets in Asia. (2006). Remolona, Eli ; Gyntelberg, Jacob ; Ma, Guonan.
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  293. Efficiency in Information Processing: A Study of Non-Nearby Currency Futures and Relationships with Nearby Counterparts. (2006). Chen, Kim Heng ; Han, Li-Ming.
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  294. Establishing Credibility: Evolving Perceptions of the European Central Bank. (2005). Klein, Michael ; Goldberg, Linda.
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  295. Are Hungarian financial markets liquid enough? The theory and practice of FX and government securities market liquidity. (2005). Erhart, Szilárd ; Csávás, Csaba ; Csavas, Csaba.
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  296. Establishing Credibility: Evolving Perceptions of the European Central Bank. (2005). Klein, Michael ; Goldberg, Linda.
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  299. Intraday volatility in the Taipei FX market. (2005). Gau, Yin-Feng.
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  300. The implied jump risk of LIBOR rates. (2005). Ting, Christopher ; Warachka, Mitch ; Guan, Lim Kian .
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  301. Duration, volume and volatility impact of trades. (2005). Manganelli, Simone.
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  302. The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes. (2005). Rangel, Jose ; Gonzalo, Jesus ; Engle, Robert.
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  303. Liquidity and Twin Crises. (2005). Song, Hyun.
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  304. Corporate bond markets in Asia. (2005). Remolona, Eli ; Ma, Guonan ; Gyntelberg, Jacob.
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  305. Size and heterogeneity matter. A microstructure-based analysis of regulation of secondary markets for governments bonds. (2005). Martinez-Resano, Jose Ramon .
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  306. Bayesian learning in financial markets: Testing for the relevance of information precision in price discovery. (2004). Hautsch, Nikolaus ; Hess, Dieter .
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  307. Fair Value Reporting Standards and Market Volatility. (2004). Shin, Hyun Song ; plantin, guillaume.
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  308. Fair Value Reporting Standards and Market Volatility. (2004). Shin, Hyun Song ; Sapra, Haresh ; Plantin, Guillaume.
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  309. The Effects of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market. (2004). Beber, Alessandro ; Brandt, Michael W..
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  310. Macroeconomic news announcements and the role of expectations: evidence for US bond, stock and foreign exchange markets. (2004). Kim, Suk-Joong ; faff, robert ; McKenzie, Michael D..
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  311. Scheduled domestic and US macroeconomic news and stock valuation in Europe. (2004). Nikkinen, Jussi ; Sahlstrom, Petri .
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  312. Impact of the federal open market committees meetings and scheduled macroeconomic news on stock market uncertainty. (2004). Nikkinen, Jussi ; Sahlstrom, Petri .
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  313. Economic News and the Impact of Trading on Bond Prices. (2004). Green, Clifton T..
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  315. Determinants of the relative price impact of unanticipated information in US macroeconomic releases. (2003). Hess, Dieter .
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  316. Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve. (2003). Kavajecz, Kenneth A. ; Brandt, Michael W..
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  317. An empirical analysis of stock and bond market liquidity. (2003). Subrahmanyam, Avanidhar ; Sarkar, Asani ; Chordia, Tarun .
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  318. Macroeconomic news, order flows and exchange rates. (2003). Payne, Richard ; Love, Ryan .
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  319. Information arrivals and intraday exchange rate volatility. (2003). Taylor, Stephen J. ; Chang, Yuanchen.
    In: Journal of International Financial Markets, Institutions and Money.
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  320. Positive feedback trading under stress: Evidence from the US Treasury securities market. (2003). Shin, Hyun Song ; Cohen, Benjamin.
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  321. Volatility and derivatives turnover: a tenuous relationship. (2003). Jeanneau, Serge ; Micu, Marian .
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  322. Modelling Intraday Trading Activity Using Box-Cox-ACD Models. (2002). Hautsch, Nikolaus.
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  323. Liquidity Black Holes: And Why Modern Financial Regulation in Developed Countries is making Short-Term Capital Flows to Developing Countries Even More Volatile. (2002). Persaud, Avinash .
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  324. Macroeconomic Factors Do Influence Aggregate Stock Returns. (2002). Flannery, Mark ; Protopapadakis, Aris A..
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  325. Information-Based Trading in the Treasury Note Interdealer Broker Market. (2002). Cai, Jun ; Wang, Xiaozu ; Huang, Roger D..
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:11:y:2002:i:3:p:269-296.

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  326. The impact of the Federal Reserve Banks open market operations. (2002). Harvey, Campbell ; Huang, Roger D..
    In: Journal of Financial Markets.
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  327. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange. (2002). Vega, Clara ; Diebold, Francis ; Bollerslev, Tim ; Anderson, Torben G..
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  328. Positive feedback trading in the US Treasurey market. (2002). Cohen, Benjamin ; Shin, Hyun Song.
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  329. Positive feedback trading under stress: evidence from the US Treasury securities market. (2002). Cohen, Benjamin ; Shin, Hyun Song.
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  331. The Effect of Transaction Size on Off-the-Run Treasury Prices. (2001). Babbel, David ; Merrill, Craig B. ; de Villiers, Meiring ; Meyer, Mark F..
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  332. Time-Varying Liquidity in Foreign Exchange. (2001). Evans, Martin ; Lyons, David .
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  333. The impact of salient political and economic news on the trading activity. (2001). Chui, Andy C. W., ; Chan, Yue-Cheong ; Kwok, Chuck C. Y., .
    In: Pacific-Basin Finance Journal.
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  334. Events that shook the market. (2001). Fair, Ray C.
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  335. Intraday and interday volatility in the Japanese stock market. (2000). Bollerslev, Tim ; Andersen, Torben ; Cai, Jun.
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  336. Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market. (1999). Lopez, Jose ; Fleming, Michael.
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  337. Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market. (1999). Lopez, Jose ; Fleming, Michael.
    In: Working Papers in Applied Economic Theory.
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  338. The term structure of announcement effects. (1999). Remolona, Eli ; Fleming, Michael.
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  339. The Impact of UK Macroeconomic Announcements on the Market for Gilts. (1999). Clare, Andrew ; Saporta, Victoria ; Johnson, Mark ; Proudman, James .
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