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What a Difference a Day Makes: On the Common Market Microstructure of Trading Days
Gerhard, Frank; Hess, Dieter; Pohlmeier, Winfried - 1998
a time-invariant price process, we question this assumption by means of a minimum distance estimation framework …
Persistent link: https://www.econbiz.de/10010324047
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The processing of non-anticipated information in financial markets : analyzing the impact of surprises in the employment report
Hautsch, Nikolaus; Hess, Dieter - In: European finance review : the official journal of the … 6 (2002) 2, pp. 133-161
Persistent link: https://www.econbiz.de/10001707962
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SEMIFAR Models, with Applications to Commodities, Exchange Rates and the Volatility of Stock Market Indices
Beran, Jan; Feng, Yuanhua; Franke, Günter; Hess, Dieter; … - 1999
short- and long-range dependence. An iterative data-driven algorithm combines MLE and kernel estimation. Predictions combine …
Persistent link: https://www.econbiz.de/10010324055
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The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report
Hautsch, Nikolaus; Hess, Dieter - 2002
This paper delineates the simultaneous impact of non-anticipated information on mean and variance of the intraday return process by including appropriate variables accounting for the news flow into both the mean and the variance function. This allows us to differentiate between the consistent...
Persistent link: https://www.econbiz.de/10010324062