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Genauigkeit
macroeconomic announcements
3
BAYES
1
Bayesian learning
1
Informationsverarbeitung
1
Kreditmarkt
1
Lagrange multiplier tests
1
Preisbildung
1
VAR model
1
asymmetric price response
1
augmented ACD models
1
autoregressive duration models
1
bivariate autoregressive intensity model
1
buy and sell arrival process
1
buy-sell excess intensity
1
censoring
1
dynamic ordered response models
1
effcient return
1
efficient importance sampling
1
financial markets
1
generalized residuals
1
high-frequency data
1
information precision
1
information quality
1
informational volatility
1
market depth
1
microstructure noise
1
mixture-of-distribution hypothesis
1
multivariate intensity
1
news impact function
1
observation vs. parameter driven dynamics
1
open limit order book
1
order aggressiveness
1
order book dynamics
1
order book information
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precision signals
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prediction Bayesian learning
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semiparametric ACD models
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Hautsch, Nikolaus
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Hess, Dieter
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USB Cologne (EcoSocSci)
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Bayesian learning in financial markets : testing for the relevance of information precision in price discovery
Hautsch, Nikolaus
;
Hess, Dieter
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2004
Persistent link: https://www.econbiz.de/10004880884
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