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~language:"eng"
~person:"Hess, Dieter"
~person:"Sebestyén, Szabolcs"
~subject:"Volatility"
~subject:"intraday data"
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Search: subject:"Macroeconomic Announcements"
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Volatility
intraday data
macroeconomic announcements
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Hess, Dieter
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Which news moves the euro area bond market?
Andersson, Magnus
;
Hansen, Lars Jul
;
Sebestyén, Szabolcs
-
2006
responses to major
macroeconomic
announcements
and ECB monetary policy releases. In general, adjustments in prices are quick and …
Persistent link: https://www.econbiz.de/10011604677
Saved in:
2
Which news moves the euro area bond market?
Andersson, Magnus
;
Hansen, Lars Jul
;
Sebestyén, Szabolcs
-
European Central Bank
-
2006
responses to major
macroeconomic
announcements
and ECB monetary policy releases. In general, adjustments in prices are quick and …
Persistent link: https://www.econbiz.de/10005344935
Saved in:
3
The processing of non-anticipated information in financial markets : analyzing the impact of surprises in the employment report
Hautsch, Nikolaus
;
Hess, Dieter
-
2002
This paper delineates the simultaneous impact of non-anticipated information on mean and variance of the intraday return process by including appropriate variables accounting for the news flow into both the mean and the variance function. This allows us to differentiate between the consistent...
Persistent link: https://www.econbiz.de/10011544322
Saved in:
4
A mean variance king? : creation and resolution of uncertainty under the employment report's reign
Hautsch, Nikolaus
;
Hess, Dieter
-
2001
This paper delineates the simultaneous impact of non-anticipated information on first and second moments of the intraday price process by including appropriate variables accounting for the news flow into both the mean and the variance function. This allows us to differentiate between the...
Persistent link: https://www.econbiz.de/10011446937
Saved in:
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