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Illuminating Important Economic News by Candlesticks: Optimal Testing meets Technical Analysis

https://doi.org/10.2139/ssrn.5345475
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/9780470316962openalex-snapshot
Convergence of Probability Measures
inferredcites →https://doi.org/10.1002/jae.1149openalex-snapshot
Jumps, cojumps and macro announcements
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Asymptotic Methods in Statistical Decision Theory
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Testing Statistical Hypotheses
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Discretization of Processes
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Option pricing when underlying stock returns are discontinuous
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Measuring volatility with the realized range
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Realized range-based estimation of integrated variance
inferredcites →https://doi.org/10.1016/j.jeconom.2020.11.004openalex-snapshot
The Drift Burst Hypothesis
inferredcites →https://doi.org/10.1016/j.jeconom.2020.11.005openalex-snapshot
Volatility Measurement with Pockets of Extreme Return Persistence
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Local mispricing and microstructural noise: A parametric perspective
inferredcites →https://doi.org/10.1016/j.jeconom.2021.07.014openalex-snapshot
Words speak as loudly as actions: Central bank communication and the response of equity prices to macroeconomic announcements
inferredcites →https://doi.org/10.1016/j.jeconom.2023.105548openalex-snapshot
Optimal Nonparametric Range-Based Volatility Estimation
inferredcites →https://doi.org/10.1016/j.jfineco.2014.07.007openalex-snapshot
Fact or friction: Jumps at ultra high frequency
inferredcites →https://doi.org/10.1016/j.jmoneco.2023.06.007openalex-snapshot
Let's face it: Quantifying the impact of nonverbal communication in FOMC press conferences
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Monetary policy surprises and interest rates: Evidence from the Fed funds futures market
inferredcites →https://doi.org/10.1017/cbo9780511802256openalex-snapshot
Asymptotic Statistics
inferredcites →https://doi.org/10.1017/s0266466609090616openalex-snapshot
NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
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Distributions Possessing a Monotone Likelihood Ratio
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Preaveraging-Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence
inferredcites →https://doi.org/10.1080/07350015.2020.1784745openalex-snapshot
Estimating Jump Activity Using Multipower Variation
inferredcites →https://doi.org/10.1080/14697688.2017.1393551openalex-snapshot
Volatility Is Rough
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The Extreme Value Method for Estimating the Variance of the Rate of Return
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On the Estimation of Security Price Volatilities from Historical Data
inferredcites →https://doi.org/10.1086/341640openalex-snapshot
Events That Shook the Market
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A No‐Arbitrage Approach to Range‐Based Estimation of Return Covariances and Correlations*
inferredcites →https://doi.org/10.1093/biomet/75.4.800openalex-snapshot
A Sharper Bonferroni Procedure for Multiple Tests of Significance
inferredcites →https://doi.org/10.1093/jjfinec/nbac015openalex-snapshot
News Arrival, Time-Varying Jump Intensity, and Realized Volatility: Conditional Testing Approach
inferredcites →https://doi.org/10.1093/jjfinec/nbi022openalex-snapshot
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation
inferredcites →https://doi.org/10.1093/jjfinec/nbr019openalex-snapshot
Asymptotic Theory of Range-Based Multipower Variation
inferredcites →https://doi.org/10.1093/qje/qjy004openalex-snapshot
High Frequency Identification of Monetary Non-Neutrality: The Information Effect
inferredcites →https://doi.org/10.1093/restud/rdy003openalex-snapshot
Volume, Volatility, and Public News Announcements
inferredcites →https://doi.org/10.1093/rfs/hhae019openalex-snapshot
News and Asset Pricing: A High-Frequency Anatomy of the SDF
inferredcites →https://doi.org/10.1093/rfs/hhaf022openalex-snapshot
Weak Identification of Long Memory with Implications for Volatility Modeling
inferredcites →https://doi.org/10.1093/rfs/hhm056openalex-snapshot
Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics
inferredcites →https://doi.org/10.1093/rfs/hhr084openalex-snapshot
Jumps and Information Flow in Financial Markets
inferredcites →https://doi.org/10.1093/rfs/hhx084openalex-snapshot
A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices
inferredcites →https://doi.org/10.1111/1467-9868.00336openalex-snapshot
Econometric analysis of realised volatility and its use in estimating stochastic volatility models
inferredcites →https://doi.org/10.1111/1540-6261.00454openalex-snapshot
Range‐Based Estimation of Stochastic Volatility Models
inferredcites →https://doi.org/10.1111/j.1368-423x.2008.00275.xopenalex-snapshot
Realized kernels in practice: trades and quotes
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04750.xopenalex-snapshot
How Markets Process Information: News Releases and Volatility
inferredcites →https://doi.org/10.1111/j.1540-6261.2005.00760.xopenalex-snapshot
What Explains the Stock Market's Reaction to Federal Reserve Policy?
inferredcites →https://doi.org/10.1111/j.1540-6261.2012.01729.xopenalex-snapshot
A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices
inferredcites →https://doi.org/10.1111/j.2517-6161.1995.tb02031.xopenalex-snapshot
Controlling the False Discovery Rate: A Practical and Powerful Approach to Multiple Testing
inferredcites →https://doi.org/10.1111/jofi.12127openalex-snapshot
Liquidity Measurement Problems in Fast, Competitive Markets: Expensive and Cheap Solutions
inferredcites →https://doi.org/10.1111/jofi.12196openalex-snapshot
The Pre-FOMC Announcement Drift
inferredcites →https://doi.org/10.1111/jofi.12732openalex-snapshot
How Crashes Develop: Intradaily Volatility and Crash Evolution
inferredcites →https://doi.org/10.1111/jofi.12818openalex-snapshot
Stock Returns Over the FOMC Cycle
inferredcites →https://doi.org/10.1111/mafi.12173openalex-snapshot
The characteristic function of rough Heston models
inferredcites →https://doi.org/10.1162/rest_a_01203openalex-snapshot
Reading the Candlesticks: An OK Estimator for Volatility
inferredcites →https://doi.org/10.1198/073500106000000044openalex-snapshot
Properties of Realized Variance Under Alternative Sampling Schemes
inferredcites →https://doi.org/10.1198/jbes.2010.08342openalex-snapshot
Volatility Jumps
inferredcites →https://doi.org/10.1214/aoms/1177729589openalex-snapshot
The Asymptotic Distribution of the Range of Sums of Independent Random Variables
inferredcites →https://doi.org/10.1257/000282802320189069openalex-snapshot
The Fed and Interest Rates—A High-Frequency Identification
inferredcites →https://doi.org/10.1257/000282803321455151openalex-snapshot
Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange
inferredcites →https://doi.org/10.1257/aer.113.6.1395openalex-snapshot
Presidential Address: Does Monetary Policy Matter? The Narrative Approach after 35 Years
inferredcites →https://doi.org/10.1257/aer.20221338openalex-snapshot
Optimal Inference for Spot Regressions
inferredcites →https://doi.org/10.1257/jel.50.4.1007openalex-snapshot
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
inferredcites →https://doi.org/10.1257/jel.52.4.993openalex-snapshot
News-Driven Business Cycles: Insights and Challenges
inferredcites →https://doi.org/10.2307/1913210openalex-snapshot
Continuous Auctions and Insider Trading
inferredcites →https://doi.org/10.2307/2171927openalex-snapshot
Continuous Record Asymptotics for Rolling Sample Variance Estimators
inferredcites →https://doi.org/10.3982/ecta17056openalex-snapshot
Realized Semicovariances
inferredcites →https://doi.org/10.3982/ecta17505openalex-snapshot
A ReMeDI for Microstructure Noise
inferredcites →https://doi.org/10.3982/ecta9216openalex-snapshot
Inference of Signs of Interaction Effects in Simultaneous Games With Incomplete Information
inferredcites →https://doi.org/10.3982/qe1749openalex-snapshot
Fixed‐ k inference for volatility

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Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.5402937openalex-snapshot
Latent Factor Analysis in Short Panels
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