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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 efficiency...
Persistent link: https://www.econbiz.de/10010311647
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 is rarely disclosed. Therefore, we extend standard Bayesian learning...
Persistent link: https://www.econbiz.de/10005678013
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 efficiency...
Persistent link: https://www.econbiz.de/10013111074
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 efficiency...
Persistent link: https://www.econbiz.de/10009705512
Bayesian learning provides the core concept of information processing in financial markets. Typically, it is assumed that market participants know perfectly the quality of released news. However, in practice, news' precision is rarely disclosed. Therefore, we extend standard Bayesian learning,...
Persistent link: https://www.econbiz.de/10003761197
Bayesian learning provides the core concept of processing noisy information. In standard Bayesian frameworks, assessing the price impact of information requires perfect knowledge of news’ precision. In practice, however, precision is rarely dis- closed. Therefore, we extend standard Bayesian...
Persistent link: https://www.econbiz.de/10003831212
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 is rarely disclosed. Therefore, we extend standard Bayesian learning...
Persistent link: https://www.econbiz.de/10003693046
Persistent link: https://www.econbiz.de/10009632051
In this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so-called financial point processes. The latter are associated with the random arrival of specific financial trading events, such as transactions, quote updates, limit orders or price...
Persistent link: https://www.econbiz.de/10005860832
We introduce a multivariate multiplicative error model which is driven by componentspecific observation driven dynamics as well as a common latent autoregressive factor. The model is designed to explicitly account for (information driven) common factor dynamics as well as idiosyncratic effects...
Persistent link: https://www.econbiz.de/10005860983