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Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps
Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013
We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...
Persistent link: https://www.econbiz.de/10010256970
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Estimating the price impact of trades in a high-frequency microstructure model with jumps
Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - In: Journal of banking & finance 61 (2015) 2, pp. 205-224
Persistent link: https://www.econbiz.de/10011585573
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Heterogeneity in perceptions of noise and air pollution : a spatial quantile approach on the City of Madrid
Chasco Yrigoyen, Coro; Le Gallo, Julie - In: Spatial economic analysis : the journal of the Regional … 10 (2015) 3, pp. 317-343
Persistent link: https://www.econbiz.de/10011326235
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Charging the polluters : a pricing model for road and railway noise
Andersson, Henrik; Ögren, Mikael - 2012
Persistent link: https://www.econbiz.de/10009665269
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Charging the polluters : a pricing model for road and railway noise
Andersson, Henrik; Ögren, Mikael - In: Journal of transport economics and policy 47 (2013) 3, pp. 313-333
Persistent link: https://www.econbiz.de/10010204648
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Ease vs. noise : on the conflicting effects of transportation infrastructure
Ahlfeldt, Gabriel M.; Nitsch, Volker; Wendland, Nicolai - 2016 - Version: August, 2016
methods to disentangle the offsetting noise and accessibility effects of one technology of mass transit, metro rail, analyzing … land prices (house prices) by 21% (5%), while a 10 db increase in noise depreciates land prices (house prices) by 5% (1 …%). We show that these effects are underestimated by 40% (access) to 80% (noise) if they are not estimated conditional on …
Persistent link: https://www.econbiz.de/10011523729
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Noisy news and exchange rates : a SVAR approach
Redl, Chris - In: Journal of international money and finance 58 (2015), pp. 150-171
Persistent link: https://www.econbiz.de/10011478251
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Meta-analysis of airport noise and hedonic property values : problems and prospects
Nelson, Jon Paul - In: Journal of transport economics and policy 38 (2004) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10001945325
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The impact of airport noise and proximity on residential property values
Espey, Molly; Lopez, Hilary - In: Growth and change : a journal of urban and regional policy 31 (2000) 3, pp. 408-419
Persistent link: https://www.econbiz.de/10001510811
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Can GDP measurement be further improved? : data revision and reconciliation
Jacobs, Jan; Sarferaz, Samad; Sturm, Jan-Egbert; Van … - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 423-431
Persistent link: https://www.econbiz.de/10012804131