Browsing by Author "Hess, Dieter"

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2008-03-11Buch

Price Adjustment to News with Uncertain Precision

Hautsch, Nikolaus; Hess, Dieter; Müller, Christoph

Bayesian learning provides a core concept of information processing in financial markets. Typically it is assumed that market participants perfectly know the quality of released news. However, in practice, news’ precision ...
2010-01-13Buch

The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility

Hautsch, Nikolaus; Hess, Dieter; Veredas, David

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 ...