% Bibliographie consolidée de la thèse — fusion des master.bib des trois chapitres.
% Dédupliquée par clé (variante la plus complète conservée). Entrée Roll1984 ajoutée
% (la clé citée « Roll1984 » correspond à l'entrée « roll1984 » — BibTeX est
% insensible à la casse des clés). Voir INVENTAIRE.md.

@article{10.1257/aer.20190964,
Author = {Känzig, Diego R.},
Title = {The Macroeconomic Effects of Oil Supply News: Evidence from {OPEC} Announcements},
Journal = {American Economic Review},
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Number = {4},
Year = {2021},
Month = {April},
Pages = {1092-1125},
DOI = {10.1257/aer.20190964},
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@article{agarwal2018etfs,
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@article{almutairi2021value,
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  year={2021}
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@article{alquist2013role,
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@article{andersen1998deutsche,
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@article{andersen2001distribution,
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@article{andersen2003,
    title={Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange},
    author={Andersen, Torben G and Bollerslev, Tim and Diebold, Francis X and Vega, Clara},
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    year={2003},
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@article{andersen2003micro,
  title={Micro effects of macro announcements: Real-time price discovery in foreign exchange},
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@article{andersen2007,
    title={Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets},
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    journal={Journal of International Economics},
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@article{andersen2007real,
  title = {Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets},
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@article{andersen2007roughing,
    title={Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility},
    author={Andersen, Torben G and Bollerslev, Tim and Diebold, Francis X},
    journal={The Review of Economics and Statistics},
    volume={89},
    number={4},
    pages={701--720},
    year={2007},
    publisher={MIT Press}
}

@article{andersen2008realized,
  title={Realized Volatility, Working Paper 2008-14},
  author={Andersen, Torben Gustav and Benzoni, Luca},
  year={2008}
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@techreport{apel2012,
  title={The Information Content of Central Bank Minutes},
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@article{araci2019,
    title={FinBERT: Financial Sentiment Analysis with Pre-trained Language Models},
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@article{aruoba2009real,
  title = {Real-Time Measurement of Business Conditions},
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@inproceedings{aulerich2012bubbles,
  title = {Bubbles},
  author = {Aulerich, Nicole M. and Irwin, Scott H. and Garcia, Philip},
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  year = {2012}
}

@article{bai2003computation,
    title={Computation and analysis of multiple structural change models},
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    journal={Journal of Applied Econometrics},
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@article{baker2016,
    title={Measuring Economic Policy Uncertainty},
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    year={2016},
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@article{balduzzi2001,
    title={Economic News and Bond Prices: Evidence from the US Treasury Market},
    author={Balduzzi, Pierluigi and Elton, Edwin J and Green, T Clifton},
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    number={4},
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    year={2001},
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}

@article{balduzzi2001economic,
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@article{barndorff2002,
  title={Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models},
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@article{barndorff2002econometric,
    title={Econometric analysis of realized volatility and its use in estimating stochastic volatility models},
    author={Barndorff-Nielsen, Ole E and Shephard, Neil},
    journal={Journal of the Royal Statistical Society: Series B},
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}

@article{barndorff2002estimating,
  title = {Estimating Quadratic Variation Using Realized Variance},
  author = {Barndorff-Nielsen, Ole E. and Shephard, Neil},
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@article{barndorff2004power,
    title={Power and bipower variation with stochastic volatility and jumps},
    author={Barndorff-Nielsen, Ole E and Shephard, Neil},
    journal={Journal of Financial Econometrics},
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    pages={1--37},
    year={2004},
    publisher={Oxford University Press}
}

@article{barndorff2009realized,
    title={Realized kernels in practice: Trades and quotes},
    author={Barndorff-Nielsen, Ole E and Hansen, Peter Reinhard and Lunde, Asger and Shephard, Neil},
    journal={The Econometrics Journal},
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    number={3},
    pages={C1--C32},
    year={2009},
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@article{barunik2018measuring,
    title={Measuring the frequency dynamics of financial connectedness and systemic risk},
    author={Baruník, Jozef and Křehlík, Tomáš},
    journal={Journal of Financial Econometrics},
    volume={16},
    number={2},
    pages={271--296},
    year={2018},
    publisher={Oxford University Press}
}

@article{basak2016model,
  title = {A Model of Financialization of Commodities},
  author = {Basak, Suleyman and Pavlova, Anna},
  journal = {Journal of Finance},
  volume = {71},
  number = {4},
  pages = {1511--1556},
  year = {2016},
  publisher = {Wiley Online Library}
}

@article{baumeister2014oil,
  title={Do oil price increases cause higher food prices?},
  author={Baumeister, Christiane and Kilian, Lutz},
  journal={Economic Policy},
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  number={80},
  pages={691--747},
  year={2014},
  publisher={Oxford University Press}
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@article{baur2010gold,
  title = {Is Gold a Hedge or a Safe Haven? {An} Analysis of Stocks, Bonds and Gold},
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  number = {2},
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  year = {2010},
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@article{beechey2009high,
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@article{ben2017etfs,
    title={Do {ETFs} increase volatility?},
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    number={6},
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    year={2018},
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@article{ben2018etfs,
    title={Do {ETFs} increase volatility?},
    author={Ben-David, Itzhak and Franzoni, Francesco and Moussawi, Rabih},
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    number={6},
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    year={2018},
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@article{benjamini1995controlling,
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@article{bernanke2005,
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@article{bernanke2005explains,
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@article{bernile2016can,
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@article{bligh2008,
    title={The Decline of Symbolic Politics: Federal Reserve Communications},
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@article{blinder2008,
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@article{boehm2020us,
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@article{bohl2012commodity,
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@article{bohl2013does,
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@article{boyd2018update,
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@article{bredin2015does,
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@article{brusa2019,
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@article{bubak2011volatility,
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@article{buckle2018price,
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    year={2018},
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@article{buyukcsahin2010matters,
  title = {It Matters Who Trades: Hedge Funds, Swap Dealers, and Cross-Market Linkages},
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@article{buyukcsahin2011speculators,
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  volume={32},
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@article{buyukcsahin2014speculators,
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@article{buyuksahin2010fundamentals,
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    year={2010},
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@article{buyuksahin2014speculation,
    title={Speculation, commodities and cross-market linkages},
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    volume={42},
    pages={38--70},
    year={2014},
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@article{cai2001moves,
  title = {What Moves the Gold Market?},
  author = {Cai, Jun and Cheung, Yan-Leung and Wong, Michael C. S.},
  journal = {Journal of Futures Markets},
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@article{campbell2012,
    title={Macroeconomic Effects of Federal Reserve Forward Guidance},
    author={Campbell, Jeffrey R and Evans, Charles L and Fisher, Jonas DM and Justiniano, Alejandro},
    journal={Brookings Papers on Economic Activity},
    volume={2012},
    number={1},
    pages={1--80},
    year={2012},
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@article{cao2024us,
  title={U.S. monetary policy: The pushing hands of crude oil price?},
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  pages={107555},
  year={2024},
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@article{carriero2015forecasting,
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@article{chang1997interday,
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@techreport{cheng2012convective,
  title = {Convective Risk Flows in Commodity Futures Markets},
  author = {Cheng, Ing-Haw and Kirilenko, Andrei and Xiong, Wei},
  year = {2012},
  institution = {National Bureau of Economic Research}
}

@article{cheng2014financialization,
  title = {Financialization of Commodity Markets},
  author = {Cheng, Ing-Haw and Xiong, Wei},
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  number = {1},
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  year = {2014},
  publisher = {Annual Reviews}
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@article{cheng2015convective,
  title = {Convective Risk Flows in Commodity Futures Markets},
  author = {Cheng, Ing-Haw and Kirilenko, Andrei and Xiong, Wei},
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@article{chordia2008liquidity,
  author = {Chordia, T. and Roll, R. and Subrahmanyam, A.},
  title = {Liquidity and market efficiency},
  journal = {Journal of Financial Economics},
  volume = {87},
  number = {2},
  pages = {249--268},
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  url = {https://www.sciencedirect.com/science/article/pii/S0304405X07001833},
  keywords = {Liquidity, Market efficiency, Order flow},
  abstract = {Short-horizon return predictability from order flows is an inverse indicator of market efficiency. We find that such predictability is diminished when bid-ask spreads are narrower, and has declined over time with the minimum tick size. Variance ratio tests suggest that prices were closer to random walk benchmarks in the more liquid decimal regime than in other ones. These findings indicate that liquidity stimulates arbitrage activity, which, in turn, enhances market efficiency. Further, as the tick size decreased, open-close/close-open return variance ratios increased, while return autocorrelations decreased. This suggests an increased incorporation of private information into prices during more liquid regimes.}
}

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@article{connolly2022stock,
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@article{couleau2020corn,
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@article{creti2013links,
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@article{da2024financialization,
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@article{dannhauser2020etf,
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@article{doi:10.1198/jbes.2009.07205,
author = {S. Borağan Aruoba and Francis X. Diebold and Chiara Scotti},
title = {Real-Time Measurement of Business Conditions},
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volume = {27},
number = {4},
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year  = {2009},
publisher = {Taylor & Francis},
doi = {10.1198/jbes.2009.07205},

URL = { 
    
        https://doi.org/10.1198/jbes.2009.07205
    
    

},
eprint = { 
    
        https://doi.org/10.1198/jbes.2009.07205
    
    

}

}

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@article{ehrmann2011,
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@article{eklund2024,
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@incollection{fama2016commodity,
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  number = {3},
  pages = {329--359},
  year = {2012},
  url = {https://files.asmith.ucdavis.edu/2012_JFinM_FS_informed.pdf},
  keywords = {finance},
  abstract = {We use daily positions of futures market participants to identify informed traders. These data contain 8,921 unique traders. We identify between 94 and 230 traders as overnight informed and 91 as intraday informed with little overlap. Floor brokers/traders are over-represented in the overnight informed group. The intraday informed group is dominated by managed money traders/hedge funds and swap dealers, with commercial hedgers under-represented. We find that characteristics such as experience, position size, trading activity, and type of positions held offer significant predictive power for who is informed. An analysis of daily trader profits confirms that we select highly profitable traders.},
  publisher = {North-Holland}
}

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@article{glosten2021etf,
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@techreport{goldberg2013time,
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  institution = {National Bureau of Economic Research},
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@article{gorodnichenko2023,
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@article{graicer2021opec,
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  doi = {10.5902/1983465963575},
  title = {The Impact of the OPEC Announcement on the Oil Companies' Share Prices},
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@article{grossman1980impossibility,
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@article{gu2018drives,
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  number = {9},
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}

@article{guo2015leveraged,
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    pages={61--74},
    year={2015},
    publisher={Institutional Investor Journals}
}

@article{gurkaynak2005,
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@article{gurkaynak2005sensitivity,
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@article{gurtler2010,
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    year={2010},
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@article{haigh2007hedge,
  title={Hedge funds, volatility, and liquidity provision in energy futures markets},
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  number={4},
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  year={2007},
  publisher={Institutional Investor Journals Umbrella}
}

@article{hakkio1985reaction,
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@article{hamilton2014risk,
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@article{hamm2011liquidity,
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    year={2014},
    publisher={Elsevier}
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@article{hamm2014liquidity,
    title={Liquidity and firm value: Evidence from {ETF} holdings},
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    year={2014},
    publisher={Elsevier}
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@article{hammoudeh2008metal,
  title={Metal volatility in presence of oil and interest rate shocks},
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@article{hansen2005realized,
    title={A realized variance for the whole day based on intermittent high-frequency data},
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    number={4},
    pages={525--554},
    year={2005},
    publisher={Oxford University Press}
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@article{hansen2017,
    title={Transparency and Deliberation within the FOMC: A Computational Linguistics Approach},
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@article{harris2009role,
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  author={Harris, Jeffrey H and Buyuksahin, Bahattin},
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  year={2009}
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@article{hasbrouck2003intraday,
    title={Intraday price formation in {US} equity index markets},
    author={Hasbrouck, Joel},
    journal={The Journal of Finance},
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    number={6},
    pages={2375--2400},
    year={2003},
    publisher={Wiley}
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@article{hautsch2011impact,
  title = {The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility},
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  number = {10},
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@article{hayo2010,
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  number={4},
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  year={2010},
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@article{hedegaard2011margins,
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  year = {2011}
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@article{hedge2007funds,
  title = {Hedge Funds, Volatility, and Liquidity Provision in Energy Futures Markets},
  author = {Haigh, Michael S. and Hranaiova, Jana and Overdahl, James A.},
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  volume = {9},
  number = {4},
  pages = {10--38},
  year = {2007},
  publisher = {Institutional Investor Journals Umbrella}
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@article{hendershott2013relationship,
    title={Algorithmic trading and the market for liquidity},
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    publisher={Cambridge University Press}
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@article{henderson2015new,
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 title = "Time Variation in Asset Price Responses to Macro Announcements",
 author = "Goldberg, Linda S and Grisse, Christian",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "19523",
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}

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}

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