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A nonlinear structural model for volatility clustering

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Volatility clustering in financial markets : empirical facts and agent-based models

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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

Does the open limit order book matter in explaining informational volatility?

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Asymmetric information, price discovery and macroeconomic announcements in FX market : do top trading bank know more?

Phylaktis, Kate; Chen, Long - In: International journal of finance & economics : IJFE 15 (2010) 3, pp. 228-246

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Empirical market microstructure : event flow, endogenous order display and depth imbalance based trading

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Queuing theoretic approaches to financial price fluctuations

Bayraktar, Erhan; Horst, Ulrich; Sircar, Kaushik Ronnie - In: Financial engineering, (pp. 637-677). 2008

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Volatility, depth, and order composition : evidence from a pure limit order futures market

Chen, Ho-chyuan; Wu, Juping - In: Emerging markets finance & trade : a journal of the … 45 (2009) 5, pp. 72-85

Persistent link: https://www.econbiz.de/10003982559

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