Spike-and-slab selection on intraday FX returns identifies nine US and Australian macro announcements as the only events with over 95% posterior inclusion probability, all linked by the authors to Taylor-rule fundamentals.
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What events matter for exchange rate volatility ?
Spike-and-slab selection on intraday FX returns identifies nine US and Australian macro announcements as the only events with over 95% posterior inclusion probability, all linked by the authors to Taylor-rule fundamentals.