A Factor Analytical Approach to Price Discovery

Forskningsoutput: Working paper

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.

Detaljer

Författare
Enheter & grupper
Forskningsområden

Ämnesklassifikation (UKÄ) – OBLIGATORISK

  • Nationalekonomi

Nyckelord

Originalspråkengelska
FörlagDepartment of Economics, Lund Universtiy
Antal sidor35
StatusPublished - 2015
PublikationskategoriForskning

Publikationsserier

NamnWorking Paper / Department of Economics, School of Economics and Management, Lund University
Nr.4

Relaterad forskningsoutput

Joakim Westerlund, Simon Reese & Narayan, P., 2017 jun, I : Oxford Bulletin of Economics and Statistics. 79, 3, s. 366-394

Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

Visa alla (1)