Macroeconomic news and market reaction: Surprise indexes meet nowcasting

2019/03/19 by Alberto Caruso
Economics, Econometrics and Finance · #Financial Markets and Investment Strategies #Market Dynamics and Volatility #Monetary Policy and Economic Impact

paper · doi:10.1016/j.ijforecast.2018.12.005

openalex publication_date 2019/03/19 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/29

Citations

• Nowcasting: The real-time informational content of macroeconomic data
• The Generalized Dynamic-Factor Model: Identification and Estimation
• Surprise and uncertainty indexes: Real-time aggregation of real-activity macro-surprises
• Real-time price discovery in global stock, bond and foreign exchange markets