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A factor analytical approach to price discovery

Westerlund, Joakim, Reese, Simon and Narayan, Paresh 2015, A factor analytical approach to price discovery, Department of Economics, Lund University, Lund, Sweden.

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Title A factor analytical approach to price discovery
Author(s) Westerlund, Joakim
Reese, Simon
Narayan, Paresh
Publication date 2015
Series Working Papers
Total pages 34
Publisher Department of Economics, Lund University
Place of Publication Lund, Sweden
Keyword(s) C12
C13
C33
Price discovery
panel data
common factor models
cross-unit cointegration
Summary 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.
Language eng
Field of Research 150202 Financial Econometrics
Socio Economic Objective 919999 Economic Framework not elsewhere classified
HERDC Research category A5 Minor research monograph
Copyright notice ©2015, Lund University
Persistent URL http://hdl.handle.net/10536/DRO/DU:30073041

Document type: Book
Collection: Deakin Graduate School of Business
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