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The FOMC Announcement Premium Asymmetry
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1002/jae.2320openalex-extracted
Using OLS to Estimate and Test for Structural Changes in Models with Endogenous Regressors
inferredcites →https://doi.org/10.1002/jae.800openalex-extracted
A forecast comparison of volatility models: does anything beat a GARCH(1,1)?
inferredcites →https://doi.org/10.1007/978-3-319-16877-7openalex-extracted
Heavy-Tailed Distributions and Robustness in Economics and Finance
inferredcites →https://doi.org/10.1016/0167-2231(86)90011-4openalex-extracted
Monetary policy regime shifts and the unusual behavior of real interest rates
inferredcites →https://doi.org/10.1016/0167-2231(86)90039-4openalex-extracted
Nominal exchange rate regimes and the behavior of real exchange rates: Evidence and implications
inferredcites →https://doi.org/10.1016/0304-4076(86)90063-1openalex-extracted
Generalized autoregressive conditional heteroskedasticity
inferredcites →https://doi.org/10.1016/j.jeconom.2011.04.003openalex-extracted
Model selection criteria in multivariate models with multiple structural changes
inferredcites →https://doi.org/10.1016/j.jfineco.2014.04.005openalex-extracted
Asset pricing: A tale of two days
inferredcites →https://doi.org/10.1016/j.jfineco.2014.12.005openalex-extracted
The adverse effects of systematic leakage ahead of official sovereign debt rating announcements
inferredcites →https://doi.org/10.1016/j.jfineco.2015.09.012openalex-extracted
Can information be locked up? Informed trading ahead of macro-news announcements
inferredcites →https://doi.org/10.1016/j.jfineco.2021.07.002openalex-extracted
The cross section of the monetary policy announcement premium
inferredcites →https://doi.org/10.1016/j.jfineco.2021.09.015openalex-extracted
Premium for heightened uncertainty: Explaining pre-announcement market returns
inferredcites →https://doi.org/10.1016/j.jfineco.2022.04.005openalex-extracted
Recovering the FOMC Risk Premium
inferredcites →https://doi.org/10.1016/j.jmoneco.2010.02.004openalex-extracted
Inflation and the stock market: Understanding the “Fed Model”
inferredcites →https://doi.org/10.1017/cbo9780511815874.019openalex-extracted
On the So-Called “Huber Sandwich Estimator” and “Robust Standard Errors”
inferredcites →https://doi.org/10.1017/s002210901300015xopenalex-extracted
How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements
inferredcites →https://doi.org/10.1093/restud/rdad013openalex-extracted
The Lost Capital Asset Pricing Model
inferredcites →https://doi.org/10.1093/restud/rdy003openalex-extracted
Volume, Volatility, and Public News Announcements
inferredcites →https://doi.org/10.1093/rof/rfz015openalex-extracted
One Central Bank to Rule Them All
inferredcites →https://doi.org/10.1111/j.1540-6261.2005.00760.xopenalex-extracted
What Explains the Stock Market's Reaction to Federal Reserve Policy?
inferredcites →https://doi.org/10.1111/jofi.12818openalex-extracted
Stock Returns Over the FOMC Cycle
inferredcites →https://doi.org/10.1198/000313006x152207openalex-extracted
On The So-Called “Huber Sandwich Estimator” and “Robust Standard Errors”
inferredcites →https://doi.org/10.1198/073500102753410417openalex-extracted
Estimation and Inference in Two-Step Econometric Models
inferredcites →https://doi.org/10.1257/jep.32.3.59openalex-extracted
Identification in Macroeconomics
inferredcites →https://doi.org/10.2139/ssrn.3014299openalex-extracted
Explaining the Pre-Announcement Drift
inferredcites →https://doi.org/10.2139/ssrn.3338889openalex-extracted
The Cross Section of Monetary Policy Announcement Premium
inferredcites →https://doi.org/10.2139/ssrn.3644386openalex-extracted
The Pre-FOMC Announcement Drift and Private Information: Kyle Meets Macro-Finance
inferredcites →https://doi.org/10.2139/ssrn.3964349openalex-extracted
Information Acquisition and the Pre-Announcement Drift
inferredcites →https://doi.org/10.2139/ssrn.4954035openalex-extracted
Volume Dynamics Around FOMC Announcements
inferredcites →https://doi.org/10.2307/1391724openalex-extracted
Estimation and Inference in Two-Step Econometric Models
inferredcites →https://doi.org/10.2307/2109851openalex-extracted
An Analysis of the Real Interest Rate Under Regime Shifts
inferredcites →https://doi.org/10.3386/w1678openalex-extracted
Monetary Policy Regime Shifts and the Unusual Behavior of Real Interest Rates
inferredcites →https://doi.org/10.3386/w25817openalex-extracted
Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns
inferredcites →https://doi.org/10.3982/ecta14607openalex-extracted
Risk Preferences and the Macroeconomic Announcement Premium
inferredcites →https://doi.org/10.1016/j.jeconom.2008.01.006openalex-snapshot
Risk, jumps, and diversification
inferredcites →https://doi.org/10.1016/j.jfineco.2024.103790openalex-snapshot
Fearing the Fed: How wall street reads main street
inferredcites →https://doi.org/10.1017/s0022109025101828openalex-snapshot
Tail Risk Around FOMC Announcements
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