The impact of macroeconomic news on quote adjustments, noise, and informational volatility - CORE Reader
core.ac.uk
We study the impact of the arrival of macroeconomic news on the informational andnoise-driven components in high-frequency quote processes and their conditional vari-ances. e find that all volatility components reveal distinct dynamics and are pos-itively influenced by news
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- We study the impact of the arrival of macroeconomic news on the informational andnoise-driven components in high-frequency quote processes and their conditional vari-ances.
- e find that all volatility components reveal distinct dynamics and are pos-itively influenced by news
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