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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
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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
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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
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Volatility estimation on the basis of price intensities
Gerhard, Frank; Hautsch, Nikolaus - 1999
allows us to obtain an estimator of the conditional volatility per time. this kind of volatility estimation solves the …
Persistent link: https://www.econbiz.de/10011543683
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How effective are trading pauses?
Hautsch, Nikolaus; Horvath, Akos - In: Journal of financial economics 131 (2019) 2, pp. 378-403
Persistent link: https://www.econbiz.de/10012131565
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Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 3, pp. 419-435
Persistent link: https://www.econbiz.de/10012178185
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The ambivalent role of high-frequency trading in turbulent market periods
Hautsch, Nikolaus; Noe, Michael; Zhang, S. Sarah - 2017
We show an ambivalent role of high-frequency traders (HFTs) in the Eurex Bund Futures market around high-impact macroeconomic announcements and extreme events. Around macroeconomic announcements, HFTs serve as market makers, post competitive spreads, and earn most of their profits through...
Persistent link: https://www.econbiz.de/10011755770
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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 - In: European finance review : the official journal of the … 6 (2002) 2, pp. 133-161
Persistent link: https://www.econbiz.de/10001707962
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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
Persistent link: https://www.econbiz.de/10001683737
Cover Image
Volatility estimation on the basis of price intensities
Gerhard, Frank; Hautsch, Nikolaus - 1999
Persistent link: https://www.econbiz.de/10001447119