almost instantaneously incorporated into T-bond futures prices. Nevertheless, large surprises, and bad news in particular … differences of opinion is left, and hence volatility is decreased. …

almost instantaneously incorporated into T-bond futures prices. Nevertheless, large surprises create considerable uncertainty … differences of opinion is left, and hence volatility is decreased. …

almost instantaneously incorporated into T-bond futures prices. Nevertheless, large surprises, and 'bad' news in particular … differences of opinion is left, and hence volatility is decreased. …

allows us to obtain an estimator of the conditional volatility per time. this kind of volatility estimation solves the …

reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow … imbalances. -- Efficient Return ; Macroeconomic Announcements ; Microstructure Noise ; Informational Volatility …

reflect information-driven and noise-induced volatilities.We find that all volatility components reveal distinct dynamics and … significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow … imbalances. -- effcient return ; macroeconomic announcements ; microstructure noise ; informational volatility …