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The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility
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The 33 checked references that resolve
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The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes
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Does the “Bund” dominate price discovery in Euro bond futures? Examining information shares
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Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement
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Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model
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The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report
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Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery
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Irrationality or Efficiency of Macroeconomic Survey Forecasts? Implications from the Anchoring Bias Test
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Simultaneous monetary policy announcements and international stock markets response: An intraday analysis
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Investor sentiment and the stock market’s reaction to monetary policy
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Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks
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Does the Open Limit Order Book Matter in Explaining Informational Volatility?
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Determinants of bid and ask quotes and implications for the cost of trading
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no DOI — not checkedUncertain precision and price reactions to information
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