Hautsch, Nikolaus; Hess, Dieter E.; Veredas, David - Institut für Finanzmarktforschung, Wirtschafts- und … - 2011
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...