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The processing of non-anticipated information in financial markets : analyzing the impact of surprises in the employment report

Hautsch, Nikolaus; Hess, Dieter - 2002

differences of opinion is left, and hence volatility is decreased. …

Persistent link: https://www.econbiz.de/10011544322

How effective are trading pauses?

Hautsch, Nikolaus; Horvath, Akos - 2017 - This draft: April 2017

have a "cool off" effect on markets, but rather accelerate volatility and bid-ask spreads. This implies a regulatory trade …

Persistent link: https://www.econbiz.de/10011642607

A mean variance king? : creation and resolution of uncertainty under the employment report's reign

Hautsch, Nikolaus; Hess, Dieter - 2001

differences of opinion is left, and hence volatility is decreased. …

Persistent link: https://www.econbiz.de/10011446937

Modelling high-frequency volatility and liquidity using multiplicative error models

Hautsch, Nikolaus; Jeleskovic, Vahidin - 2008

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven by past trading …

Persistent link: https://www.econbiz.de/10010263738

Quantifying high-frequency market reactions to real-time news sentiment announcements

Groß-Klußmann, Axel; Hautsch, Nikolaus - 2009

direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However …

Persistent link: https://www.econbiz.de/10010270815