of news effects. No evidence of asymmetric responses to news about prices and spreads is found. …

interpretation in terms of news effects. No evidence of asymmetric responses to news about prices and spreads is found. <p> Paper [2 … indicate that the value of order book information is short-term. <p> Paper [4] This paper studies the impact of news … announcements on trade durations in stocks on the Stockholm Stock Exchange. The news are categorized into four groups and the impact …

macroeconomic fundamentals emanating from Germany and the U.S. We examine the reaction of intraday returns and volatility of the CAC … immediate response in returns and volatility of the German and the French stock market sampled at a five-minute frequency. The …

In this paper, we challenge the traditional assumption of a linear relationship between exchange rate volatility and … volatility positively and significantly influences economic growth when growth in government spending is below 6 percent. Above … this 6 percent threshold, volatility exerts an insignificant effect on economic growth. In light of the adoption of a free …

We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel (2008), which has a …