Narrow search
Showing 1 - 10 of 759,673
Cover Image
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
Cover Image
Bayesian learning in financial markets : price adjustments, fundamentals, and risk
Müller, Christoph - 2009 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003866148
Cover Image
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
Cover Image
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
Cover Image
Internet, noise trading and commodity futures prices
Peri, Massimo; Vandone, Daniela; Baldi, Lucia - In: International review of economics & finance : IREF 33 (2014), pp. 82-89
Persistent link: https://www.econbiz.de/10010531284
Cover Image
Online spot volatility-estimation and decomposition with nonlinear market microstructure noise models
Dahlhaus, Rainer; Neddermeyer, Jan Christoph - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 174-212
Persistent link: https://www.econbiz.de/10010233600
Cover Image
The impact of FX central bank intervention in a noise trading framework
Beine, Michel; De Grauwe, Paul; Grimaldi, Marianna - In: Exchange rates and global financial policies, (pp. 189-216). 2014
Persistent link: https://www.econbiz.de/10010350406
Cover Image
Total factor productivity and signal noise volatility in an incomplete information setting
Vega, Hugo - 2010
Persistent link: https://www.econbiz.de/10008749782
Cover Image
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
Cover Image
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