Clara Vega
Cited by
Cited by
Micro effects of macro announcements: Real-time price discovery in foreign exchange
TG Anderson, T Bollerslev, FX Diebold, C Vega
American economic review 93 (1), 38-62, 2003
Real-time price discovery in global stock, bond and foreign exchange markets
TG Andersen, T Bollerslev, FX Diebold, C Vega
Journal of international Economics 73 (2), 251-277, 2007
Rise of the machines: Algorithmic trading in the foreign exchange market
AP Chaboud, B Chiquoine, E Hjalmarsson, C Vega
The Journal of Finance 69 (5), 2045-2084, 2014
Stock price reaction to public and private information
C Vega
Journal of Financial Economics 82 (1), 103-133, 2006
Do energy prices respond to US macroeconomic news? A test of the hypothesis of predetermined energy prices
L Kilian, C Vega
Review of Economics and Statistics 93 (2), 660-671, 2011
Soft information in earnings announcements: News or noise?
E Demers, C Vega
Informed and strategic order flow in the bond markets
P Pasquariello, C Vega
The Review of Financial Studies 20 (6), 1975-2019, 2007
The on-the-run liquidity phenomenon
P Pasquariello, C Vega
Journal of Financial Economics 92 (1), 1-24, 2009
International transmission of US monetary policy shocks: Evidence from stock prices
J Ammer, C Vega, J Wongswan
Journal of Money, Credit and Banking 42, 179-198, 2010
Economic news and international stock market co-movement
R Albuquerque, C Vega
Review of Finance 13 (3), 401-465, 2009
Is the intrinsic value of a macroeconomic news announcement related to its asset price impact?
T Gilbert, C Scotti, G Strasser, C Vega
Journal of Monetary Economics 92, 78-95, 2017
Counterparty risk and counterparty choice in the credit default swap market
W Du, S Gadgil, MB Gordy, C Vega
Management Science, 2023
Strategic cross-trading in the US stock market
P Pasquariello, C Vega
Review of Finance 19 (1), 229-282, 2015
Linguistic tone in earnings announcements: News or noise?
EA Demers, C Vega
SSRN Electronic Journal, 2011
Understanding the role of managerial optimism and uncertainty in the price formation process: Evidence from the textual content of earnings announcements
EA Demers, C Vega
Available at SSRN 1152326, 2014
Demand for Information, Uncertainty, and the Response of U.S. Treasury Securities to news
H Benamar, T Foucault, C Vega
Review of Financial Studies, 2020
Words speak as loudly as actions: Central bank communication and the response of equity prices to macroeconomic announcements
B Gardner, C Scotti, C Vega
Journal of Econometrics 231 (2), 387-409, 2022
Measuring carry trade activity
S Curcuru, C Vega, J Hoek
Board of Governors of the Federal Reserve System 34, 1-26, 2010
Why do certain macroeconomic news announcements have a big impact on asset prices?
T Gilbert, C Scotti, G Strasser, C Vega
Applied Econometrics and Forecasting in Macroeconomics and Finance Workshop …, 2010
Government intervention and strategic trading in the US treasury market
P Pasquariello, J Roush, C Vega
Journal of Financial and Quantitative Analysis 55 (1), 117-157, 2020
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