Hautsch, Nikolaus; Hess, Dieter; Veredas, David - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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...
