Title:

Impact of News Announcements on the Foreign Exchange Implied Volatility

Authors:

Helena Pinto (U Strathclyde)
Andrew Marshall (U Strathclyde)
Taleh Musayev (U Strathclyde)
Leilei Tang (U Strathclyde)

Journal:

Journal Of International Financial Markets, Institutions And Money

Year:

2012

Volume:

22

Pages:

719-737

JEL codes:

E52 - Monetary Policy (Targets, Instruments, and Effects)
F31 - Foreign Exchange
G14 - Information and Market Efficiency; Event Studies
G15 - International Financial Markets