Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets
收藏NBER2005-05-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w11312
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资源简介：
We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean jumps;
提供机构：
美国国家经济研究局
创建时间：
2005-05-01
