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Testing the white noise hypothesis in high-frequency housing returns of the United States
Tiwari, Aviral Kumar; Gupta, Rangan; Cuñado … - In: Economics and Business Letters : EBL 9 (2020) 3, pp. 178-188
Persistent link: https://www.econbiz.de/10012420487
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Does economic policy uncertainty predict exchange rate returns and volatility? : evidence from a nonparametric causality-in-quantiles test
Balcilar, Mehmet; Gupta, Rangan; Kyei, Clement; Wohar, … - In: Open economies review 27 (2016) 2, pp. 229-250
Persistent link: https://www.econbiz.de/10011591762
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The impact of scheduled news announcements on T-Bond and Bund futures trading
Franke, Günter; Hess, Dieter - In: Institutional arrangements for global economic integration, (pp. 337-366). 2000
Persistent link: https://www.econbiz.de/10001533882
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The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010
We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor and two market-side-specific components...
Persistent link: https://www.econbiz.de/10003952800
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The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010
We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor and two market-side-specific components...
Persistent link: https://www.econbiz.de/10003947458
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The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - In: Journal of banking & finance 35 (2011) 10, pp. 2733-2746
Persistent link: https://www.econbiz.de/10009273874
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The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010 - This version: November 2010
We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor and two market-side-specific components...
Persistent link: https://www.econbiz.de/10008937568
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The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility
Hautsch, Nikolaus - 2012
We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. We decompose bid and ask returns into a common ("efficient return") factor and two market-side-specific components...
Persistent link: https://www.econbiz.de/10013113491
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Does country risks predict stock returns and volatility? : evidence from a nonparametric approach
Suleman, Tahir; Gupta, Rangan; Balcilar, Mehmet - In: Research in international business and finance 42 (2017), pp. 1173-1195
Persistent link: https://www.econbiz.de/10011760918
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Terror attacks and stock-market fluctuations : evidence based on a nonparametric causality-in-quantiles test for the G7 countries
Balcilar, Mehmet; Gupta, Rangan; Pierdzioch, Christian; … - In: The European journal of finance 24 (2018) 4/6, pp. 333-346
Persistent link: https://www.econbiz.de/10012244323