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Generalized jump regressions for local moments
Bollerslev, Tim; Li, Jia; Chaves, Leonardo Salim Saker - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 1015-1025
Persistent link: https://www.econbiz.de/10012653221
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Revisiting the CAPM model with quantile regression : creating investment strategies on the Zagreb Stock Exchange
Škrinjarić, Tihana; Slišković, Marina - In: International journal of economics and business … 19 (2020) 3, pp. 266-289
Persistent link: https://www.econbiz.de/10012205614
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The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010
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 …
Persistent link: https://www.econbiz.de/10003952800
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The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010
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 …
Persistent link: https://www.econbiz.de/10003947458
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Cojumps in stock prices : empirical evidence
Gilder, Dudley; Shackleton, Mark B.; Taylor, Stephen - In: Journal of banking & finance 40 (2014), pp. 443-459
Persistent link: https://www.econbiz.de/10010404700
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Investment strategies and determinants in capital markets
Grabellus, Markus - 2014
Persistent link: https://www.econbiz.de/10010486731
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The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - In: Journal of banking & finance 35 (2011) 10, pp. 2733-2746
Persistent link: https://www.econbiz.de/10009273874
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The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010 - This version: November 2010
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 …
Persistent link: https://www.econbiz.de/10008937568
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Industry portfolios, economic news and business conditions : evidence from the Finnish stock market
Järvinen, Jari - In: Liiketaloudellinen aikakauskirja 49 (2000) 2, pp. 209-232
Persistent link: https://www.econbiz.de/10001498511
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Fundamentals and the winner-loser effect theory and empirical evidence
Külpmann, Mathias - 2000
Persistent link: https://www.econbiz.de/10001474619