A Factor Analytical Approach to Price Discovery

Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift


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.


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Externa organisationer
  • Deakin University

Ämnesklassifikation (UKÄ) – OBLIGATORISK

  • Nationalekonomi


Sidor (från-till)366-394
TidskriftOxford Bulletin of Economics and Statistics
Utgåva nummer3
Tidigt onlinedatum2017 feb 24
StatusPublished - 2017 jun
Peer review utfördJa

Relaterad forskningsoutput

Simon Reese, 2017 mar 2, Lund: Lund University (Media-Tryck). 227 s.

Forskningsoutput: AvhandlingDoktorsavhandling (sammanläggning)

Simon Reese, Joakim Westerlund & Narayan, P., 2015, Department of Economics, Lund Universtiy, 35 s. (Working Paper / Department of Economics, School of Economics and Management, Lund University; nr. 4).

Forskningsoutput: Working paper

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