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dc.contributor.authorHautsch, Nikolausen_US
dc.contributor.authorHess, Dieter E.en_US
dc.date.accessioned2009-02-16T14:56:37Z-
dc.date.available2009-02-16T14:56:37Z-
dc.date.issued2001en_US
dc.identifier.urihttp://hdl.handle.net/10419/24481-
dc.description.abstractThis paper delineates the simultaneous impact of non-anticipated information on first and second moments of the intraday price process by including appropriate variables accounting for the news flow into both the mean and the variance function. This allows us to differentiate between the consistent price reaction to surprising news and traders? uncertainty about the precise price impact of this information. Analyzing the US employment report, we find that headline information is almost instantaneously incorporated into T-bond futures prices. Nevertheless, large surprises create considerable uncertainty, in particular ?bad? news. In contrast, if surprises in related headlines cross-validate each other, less room for differences of opinion is left, and hence volatility is decreased.en_US
dc.language.isoengen_US
dc.publisherZentrum für Europäische Wirtschaftsforschung (ZEW) Mannheim-
dc.relation.ispartofseriesZEW Discussion Papers 01-60en_US
dc.subject.jelG14en_US
dc.subject.jelE44en_US
dc.subject.ddc330en_US
dc.subject.keywordInformation processingen_US
dc.subject.keywordtrading processen_US
dc.subject.keywordvolatilityen_US
dc.subject.keywordmacroeconomic announcementsen_US
dc.subject.keywordTreasury bond futuresen_US
dc.subject.keywordhigh-frequency dataen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwSchatzpapieren_US
dc.subject.stwZinstermingeschäften_US
dc.subject.stwMaßzahlen_US
dc.subject.stwInformationen_US
dc.subject.stwArbeitsmarktstatistiken_US
dc.subject.stwInformationsverbreitungen_US
dc.subject.stwAnkündigungseffekten_US
dc.subject.stwSchätzungen_US
dc.subject.stwUSAen_US
dc.titleA mean variance king? Creation and resolution of uncertainty under the employment report's reignen_US
dc.typeWorking Paperen_US
dc.identifier.ppn336789122en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:zewdip:5416-
Appears in Collections:Publikationen von Forscherinnen und Forschern des ZEW
ZEW Discussion Papers

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