Common factor components versus information shares: a reply
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference10 articles.
1. Optimal control of execution costs;Bertsimas;Journal of Financial Markets,1998
2. deJong, F., 2002. Measures of the contribution to price discovery: a comparison. Journal of Financial Markets, this issue.
3. Estimation of common long-memory components in cointegrated systems;Gonzalo;Journal of Business and Economic Statistics,1995
4. A regime-level empirical model of the specialist quote revision process;Harris;Review of Quantitative Finance and Accounting,2000
5. Cointegration, error correction and price discovery on informationally-linked security markets;Harris;Journal of Financial and Quantitative Analysis,1995
Cited by 62 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. Price discovery and triangular arbitrage in currency markets;Journal of International Money and Finance;2023-10
2. Rediscovering Price Discovery;SSRN Electronic Journal;2023
3. Switching to Floating Inverts Price Discovery for China's Dual Listed Stocks: High-Frequency Evidence;2023
4. Dynamics of information leadership in the volatility complex with trading time changes: Evidence from VIX futures and VIX ETPs;Algorithmic Finance;2022-08-03
5. Directed acyclic graph based information shares for price discovery;Journal of Economic Dynamics and Control;2022-06
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3