Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/24481 
Kompletter Metadatensatz
DublinCore-FeldWertSprache
dc.contributor.authorHautsch, Nikolausen
dc.contributor.authorHess, Dieter E.en
dc.date.accessioned2009-02-16T14:56:37Z-
dc.date.available2009-02-16T14:56:37Z-
dc.date.issued2001-
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
dc.language.isoengen
dc.publisher|aZentrum für Europäische Wirtschaftsforschung (ZEW) |cMannheimen
dc.relation.ispartofseries|aZEW Discussion Papers |x01-60en
dc.subject.jelG14en
dc.subject.jelE44en
dc.subject.ddc330en
dc.subject.keywordInformation processingen
dc.subject.keywordtrading processen
dc.subject.keywordvolatilityen
dc.subject.keywordmacroeconomic announcementsen
dc.subject.keywordTreasury bond futuresen
dc.subject.keywordhigh-frequency dataen
dc.subject.stwBörsenkursen
dc.subject.stwVolatilitäten
dc.subject.stwSchatzpapieren
dc.subject.stwZinstermingeschäften
dc.subject.stwMaßzahlen
dc.subject.stwInformationen
dc.subject.stwArbeitsmarktstatistiken
dc.subject.stwInformationsverbreitungen
dc.subject.stwAnkündigungseffekten
dc.subject.stwSchätzungen
dc.subject.stwUSAen
dc.titleA mean variance king? Creation and resolution of uncertainty under the employment report's reign-
dc.typeWorking Paperen
dc.identifier.ppn856294772en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:zewdip:5416en

Datei(en):
Datei
Größe
377.89 kB





Publikationen in EconStor sind urheberrechtlich geschützt.