Christoph Müller

University of Cologne

Meister-Ekkehart-Strasse 11

50923 Cologne, 50937

Germany

SCHOLARLY PAPERS

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Scholarly Papers (2)

Price Adjustment to News with Uncertain Precision

EFA 2009 Bergen Meetings Paper
Number of pages: 49 Posted: 04 Mar 2007 Last Revised: 29 Mar 2012
Dieter Hess, Nikolaus Hautsch and Christoph Müller
University of Cologne - Department of Corporate Finance, University of Vienna - Department of Statistics and Operations Research and University of Cologne
Downloads 551 (48,419)

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Bayesian learning, information quality, precision signals, macroeconomic announcements

Price Adjustment to News with Uncertain Precision

Journal of International Money and Finance, Vol. 31, No. 2, 2012
Posted: 09 Feb 2012 Last Revised: 15 Feb 2012
Nikolaus Hautsch, Dieter Hess and Christoph Müller
University of Vienna - Department of Statistics and Operations Research, University of Cologne - Department of Corporate Finance and University of Cologne

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Bayesian learning, Macroeconomic announcements, Information quality, Precision signals

2.

Liquidity-Based Estimation of Spot Volatility Under Microstructure Noise

Number of pages: 47 Posted: 05 Apr 2008 Last Revised: 19 Jan 2010
Oliver Grothe and Christoph Müller
KIT and University of Cologne
Downloads 348 (85,582)

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Volatility Estimation, Realized Volatility, Bayesian Parameter Estimation, Non-linear Kalman Filter, High Frequency Data, Market Microstructure