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The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010
We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor and two market-side-specific components...
Persistent link: https://www.econbiz.de/10003952800
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Börsen, Banken und Kapitalmärkte : Festschrift für Hartmut Schmidt zum 65. Geburtstag
Bessler, Wolfgang (ed.); Schmidt, Hartmut (honouree) - 2006
Persistent link: https://www.econbiz.de/10003387711
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The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010
We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor and two market-side-specific components...
Persistent link: https://www.econbiz.de/10003947458
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The effect of limit order book information on investors with different risk attitudes
Wang, Ya-hui; Lai, Chien-Chih - In: The international journal of business and finance … 9 (2015) 1, pp. 113-120
Persistent link: https://www.econbiz.de/10010515350
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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
We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor and two market-side-specific components...
Persistent link: https://www.econbiz.de/10008937568
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Wettbewerb, Liquidität und die Rolle von Intermediation im Wertpapierhandel
Freihube, Thorsten - 2004
Persistent link: https://www.econbiz.de/10002122262
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Privileges and their effect on the efficiency of stock markets : an experimental study
Gerke, Wolfgang; Arneth, Stefan; Kugler, Patrick - In: German financial markets and institutions: selected studies, (pp. 225-253). 2002
Persistent link: https://www.econbiz.de/10001705560
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Empirical models of the intraday process of price changes and liquidity : a transaction level approach
Gerhard, Frank (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001763098
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Elektronisierung des Wertpapierhandels und Informationseffizienz
Lückerath, Evelin - 2003 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001865147