This paper delineates the simultaneous impact of non-anticipated information on first and second moments of the … about the precise price impact of this information. Analyzing the US employment report, we find that headline information is …

We use an information-theoretic approach to interpret Engle's (1982) and Bollerslev's (1986) GARCH model as a model for …

inherently ambivalent, being considered as an indicator of either information flow or uncertainty.We discriminate between these … volatility. This exploits the revealed reaction of investors to gauge the degree of information and uncertainty ascribed to …

We study the impact of private information on volatility in financial markets. We develop a comprehensive framework to … investigate this link while controlling for the effects of both public information (such as macroeconomic news releases) and … private information on prices and the effects of public information on volatility. Using a high-frequency 30-year U …

contribute to such literature by investigating how we can modify the well-known information stickiness macro model, through the …

-quadratic beauty contests) that feature strategic interaction and endogenous information acquisition. We adopt the rational inattention … approach to information acquisition but generalize to a large class of information costs. Agents may learn not only about … exogenous states, but also about endogenous outcomes. We study how the properties of the agents' information cost relate to the …