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

Journal of International Economics

Volumn 73, Issue 2, 2007, Pages 251-277

  Andersen, Torben G ^a,e   Bollerslev, Tim ^b,e   Diebold, Francis X ^c,e   Vega, Clara ^d  

^a NORTHWESTERN UNIVERSITY   (United States)

^b DUKE UNIVERSITY   (United States)

^c UNIVERSITY OF PENNSYLVANIA   (United States)

^d UNIVERSITY OF ROCHESTER   (United States)

^e NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

Author keywords

Asset pricing; Asset return volatility; Financial market linkages; Forecasting; High frequency data; Macroeconomic news announcements; Market microstructure; Survey data

Indexed keywords

EXCHANGE RATE; MACROECONOMICS; PRICE DETERMINATION; STOCK MARKET;

EID: 35648955067     PISSN: 00221996     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jinteco.2007.02.004     Document Type: Article

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