Similar Search Results - EconBiz

Market-wide illiquidity and the distribution of non-parametric stochastic discount factors

Abad Díaz, David; Nieto Domenech, Belen; Pascual, Roberto - In: International review of financial analysis 87 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014460538

The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility

Hautsch, Nikolaus - 2012

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...

Persistent link: https://www.econbiz.de/10013113491

The impact of macroeconomic news on quote adjustments, noise, and informational volatility

Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010

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. Bid and ask returns are decomposed into a common ("efficient return") factor and two market-side-specific components...

Persistent link: https://www.econbiz.de/10003952800

Estimation of stable distributions by indirect inference

Garcia, René; Renault, Eric; Veredas, David - In: Journal of econometrics 161 (2011) 2, pp. 325-337

Persistent link: https://www.econbiz.de/10009242117

A simple two-component model for the distribution of intraday returns

Coroneo, Laura; Veredas, David - In: The European journal of finance 18 (2012) 9/10, pp. 775-797

Persistent link: https://www.econbiz.de/10009691780

Disentangled jump-robust realized covariances and correlations with non-synchronous prices

Vander Elst, Harry; Veredas, David - 2014

Persistent link: https://www.econbiz.de/10010418993

The impact of macroeconomic news on quote adjustments, noise, and informational volatility

Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010 - This version: November 2010

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. Bid and ask returns are decomposed into a common ("efficient return") factor and two market-side-specific components...

Persistent link: https://www.econbiz.de/10008937568

The impact of macroeconomic news on quote adjustments, noise, and informational volatility

Hautsch, Nikolaus; Hess, Dieter; Veredas, David - In: Journal of banking & finance 35 (2011) 10, pp. 2733-2746

Persistent link: https://www.econbiz.de/10009273874

Intradaily seasonality of returns distribution : a quantile regression approach and intradaily VaR estimation

Coroneo, Laura (contributor); Veredas, David (contributor) - 2006

Persistent link: https://www.econbiz.de/10003375899

Estimation of stable distributions by indirect inference

Garcia, René (contributor); Renault, Eric (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003402433

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