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. We decompose bid and ask returns into a common ("efficient return") factor and two market-side-specific components...

We analyze how markets adjust to new information when the reliability of news is uncertain and has to be estimated itself. We propose a Bayesian learning model where market participants receive fundamental information along with noisy estimates of news’ precision. It is shown that the...

Recent findings indicate that macroeconomic survey forecasts are anchoring biased and therefore are inefficient. However, despite highly significant test coefficients, a bias adjustment does not improve forecasts' quality. We find that the cognitive bias is a statistical artifact because the...

In den letzten Jahren ist der Handel in Zinsderivaten, vor allem Zinsterminkontrakten und Zinsswaps, rasch gewachsen. Für die Banken, die den Handel von Zinsderivaten in erster Linie tragen, folgt daraus ein erhebliches Risiko. Dieses hat in jüngster Zeit immer wieder zu Befürchtungen...

This article deals with the estimation of the parameters of an α-stable distribution with indirect inference, using the skewed-t distribution as an auxiliary model. The latter distribution appears as a good candidate since it has the same number of parameters as the α-stable distribution, with...