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

Journal of Banking and Finance

Volumn 35, Issue 10, 2011, Pages 2733-2746

  Hautsch, Nikolaus ^a   Hess, Dieter ^b   Veredas, David ^c  

^a HUMBOLDT UNIVERSITY   (Germany)

^b UNIVERSITY OF COLOGNE   (Germany)

^c SOLVAY BRUSSELS SCHOOL OF ECONOMICS AND MANAGEMENT   (Belgium)

Author keywords

Efficient return; Informational volatility; Macroeconomic announcements; Microstructure noise

Indexed keywords

EID: 79960906984     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2011.03.004     Document Type: Article

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