Joakim Westerlund
Professor, Programchef - Magisterprogram i Dataanalys och ekonomi
A Factor Analytical Approach to Price Discovery
Författare
Summary, in English
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.
Avdelning/ar
- Nationalekonomiska institutionen
Publiceringsår
2017-06
Språk
Engelska
Sidor
366-394
Publikation/Tidskrift/Serie
Oxford Bulletin of Economics and Statistics
Volym
79
Issue
3
Dokumenttyp
Artikel i tidskrift
Förlag
Wiley-Blackwell
Ämne
- Economics
Nyckelord
- Common factor models
- Cross-unit cointegration
- Panel data
- Price discovery
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 0305-9049