A Factor Analytical Approach to Price Discovery

Research output: Contribution to journalArticlepeer-review

Abstract

Existing econometric approaches for studying price discovery presume that the number of markets are small, and their properties become suspect when this restriction is not met. They also require making identifying restrictions and are in many cases not suitable for statistical inference. The current paper takes these shortcomings as a starting point to develop a factor analytical approach that makes use of the cross-sectional variation of the data, yet is very user-friendly in that it does not involve any identifying restrictions or obstacles to inference.

Original languageEnglish
Pages (from-to)366-394
JournalOxford Bulletin of Economics and Statistics
Volume79
Issue number3
Early online date2017 Feb 24
DOIs
Publication statusPublished - 2017 Jun

Subject classification (UKÄ)

  • Economics

Free keywords

  • Common factor models
  • Cross-unit cointegration
  • Panel data
  • Price discovery

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