The impact of macroeconomic news on quote adjustments, noise and informational volatility
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- Hautsch, Nikolaus & Hess, Dieter & Veredas, David, 2011. "The impact of macroeconomic news on quote adjustments, noise, and informational volatility," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2733-2746, October.
- Nikolaus Hautsch & Dieter Hess & David Veredas, 2010. "The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility," SFB 649 Discussion Papers SFB649DP2010-005, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Hautsch, Nikolaus & Hess, Dieter E. & Veredas, David, 2010. "The impact of macroeconomic news on quote adjustments, noise, and informational volatility," CFS Working Paper Series 2010/01, Center for Financial Studies (CFS).
- Nikolaus Hautsch & Dieter Hess & David Veredas, 2010. "The impact of macroeconomic news on quote adjustments, noise and informational volatility," Working Papers ECARES 2010-004, ULB -- Universite Libre de Bruxelles.
- Hautsch, Nikolaus & Hess, Dieter E. & Veredas, David, 2011. "The impact of macroeconomic news on quote adjustments, noise, and informational volatility," CFR Working Papers 11-06, University of Cologne, Centre for Financial Research (CFR).
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JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
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