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Do prices respond stronger to more precise news? - Testing for the catalyzing effects of precision signals in the U.S. employment report

Hautsch, Nikolaus; Hess, Dieter - 2003

It is well documented that the U.S. employment report has a strong price impact in financial markets. Based of these precision proxies, we show that prices respond significantly stronger to more precise information, even after controlling for an asymmetric price response to good and bad...

Persistent link: https://www.econbiz.de/10005844931

Bayesian Learning in Financial Markets - Testing for the Relevance of Information Precision in Price Discovery

Hautsch, Nikolaus; Hess, Dieter - 2004

Preise auf Kapitalmärkten werden durch nicht-antizipierte Informationen getrieben. Eine zentrale Aussage Baysianischer Lernmodelle impliziert, dass die Stärke der Preisreaktion einerseits von der Höhe der nicht antizipierten Komponente abhängt, andererseits aber auch von der Präzision der...

Persistent link: https://www.econbiz.de/10005854226

Modelling Financial High Frequency Data Using Point Processes

Bauwens, Luc; Hautsch, Nikolaus - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

In this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so-called financial point processes. The latter are associated with the random arrival of specific financial trading events, such as transactions, quote updates, limit orders or price...

Persistent link: https://www.econbiz.de/10005860832

Essays on financial intermediation, product differentiation, and market structure

Degryse, Hans - 1995

Persistent link: https://www.econbiz.de/10000980547

On the nonexclusivity of loan contracts : an empirical investigation

Degryse, Hans; Ioannidou, Vasso; Schedvin, Erik von - In: Management science : journal of the Institute for … 62 (2016) 12, pp. 3510-3533

Persistent link: https://www.econbiz.de/10011626373

Identifying credit supply shocks with bank-firm data : methods and applications

Degryse, Hans; De Jonghe, Olivier; Jakovljević, Sanja; … - 2018

Current empirical methods to identify and assess the impact of bank credit supply shocks rely strictly on multi-bank … firms and ignore firms borrowing from only one bank. Yet, these single-bank firms are often the majority of firms in an …-location-size-time fixed effects) that allows identifying timevarying cross-sectional bank credit supply shocks using both single- and multi-bank …

Persistent link: https://www.econbiz.de/10011920502