SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Does the “Bund” dominate price discovery in Euro bond futures? Examining information shares
16 references·8 citing·39 second hop
Does the “Bund” dominate price discovery in Euro bond futures? Examining information shares (2010)Does the “Bund” dominate price discovery …Credit spreads: An empirical analysis on the informational content of stocks, bonds, and CDS (2009)Credit spreads: An empirical …A structural analysis of price discovery measures (2009)A structural analysis of pric…Real-time price discovery in global stock, bond and foreign exchange markets (2007)Real-time price discovery in …Separating microstructure noise from volatility (2005)Separating microstructure noi…Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve (2004)Price Discovery in the U.S. T…Economic News and the Impact of Trading on Bond Prices (2004)Economic News and the Impact …Some desiderata for the measurement of price discovery across markets (2002)Some desiderata for the measu…Security price adjustment across exchanges: an investigation of common factor components for Dow stocks (2002)Security price adjustment acr…Price discovery and common factor models (2002)Price discovery and common fa…Stealth-trading: Which traders' trades move stock prices? (2001)Stealth-trading: Which trader…One Security, Many Markets: Determining the Contributions to Price Discovery (1995)One Security, Many Markets: D…Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Estimation of Common Long-Mem…Stealth trading and volatility (1993)Stealth trading and volatilityEstimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…The effects of negative reputational contagion on international airlines: The case of the Boeing 737-MAX disasters (2022)The effects of negative reput…The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry (2020)The influence of the COVID-19…Price Discovery in Agricultural Futures Markets: Should We Look beyond the Best Bid‐Ask Spread? (2019)Price Discovery in Agricultur…Intraday time‐series momentum: Evidence from China (2019)Intraday time‐series momentum…Price discovery in the Chinese gold market (2018)Price discovery in the Chines…Determinants of price discovery in the VIX futures market (2017)Determinants of price discove…Price discovery in the S&P 500 index derivatives markets (2016)Price discovery in the S&P 50…How smooth is price discovery? Evidence from cross-listed stock trading (2012)How smooth is price discovery…The market for corporate control (1983)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Which Shorts Are Informed? (2007)Do Retail Trades Move Markets? (2008)Variable Trends in Economic Time Series (1988)Intraday Price Formation in U.S. Equity Index Markets (2003)An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps (2004)The crude oil market and the gold market: Evidence for cointegration, causality and price discovery (2010)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A Theory of Intraday Patterns: Volume and Price Variability (1988)Inferring Trade Direction from Intraday Data (1991)Greener Pastures and the Impact of Dynamic Institutional Preferences (2003)The Dynamics of Institutional and Individual Trading (2003)When Does Information Asymmetry Affect the Cost of Capital? (2010)Discretion versus policy rules in practice (1993)Dynamic Conditional Correlation (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)Capital flows, push versus pull factors and the global financial crisis (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Cointegration and Tests of Present Value Models (1987)Market microstructure: A survey (2000)An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)Realized Variance and Market Microstructure Noise (2006)Expected stock returns and volatility (1987)Why Does Stock Market Volatility Change Over Time? (1989)Modeling and Forecasting Realized Volatility (2003)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)Finance and Economics Discussion Series (2022)Testing for Panel Cointegration with Multiple Structural Breaks* (2006)The Co‐movement of Credit Default Swap, Bond and Stock Markets: an Empirical Analysis (2009)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 2007Real-time price discovery in global stock, bond and foreign exchange markets1,127 cited
  • 1993Stealth trading and volatility948 cited
  • 2001Stealth-trading: Which traders' trades move stock prices?682 cited
  • 2005Separating microstructure noise from volatility635 cited
  • 2002Price discovery and common factor models546 cited
  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems426 cited
  • 2004Economic News and the Impact of Trading on Bond Prices413 cited
  • 2004Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve359 cited
  • 2009Credit spreads: An empirical analysis on the informational content of stocks, bonds, and CDS328 cited
  • 2002Security price adjustment across exchanges: an investigation of common factor components for Dow stocks305 cited
  • 2002

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Some desiderata for the measurement of price discovery across markets
260 cited
  • 2009A structural analysis of price discovery measures258 cited
  • Cited by

    • 2020The influence of the COVID-19 pandemic on asset-price discovery: Testing the case of Chinese informational asymmetry92 cited
    • 2017Determinants of price discovery in the VIX futures market57 cited
    • 2019Intraday time‐series momentum: Evidence from China42 cited
    • 2012How smooth is price discovery? Evidence from cross-listed stock trading38 cited
    • 2016Price discovery in the S&P 500 index derivatives markets36 cited
    • 2018Price discovery in the Chinese gold market31 cited
    • 2019Price Discovery in Agricultural Futures Markets: Should We Look beyond the Best Bid‐Ask Spread?29 cited
    • 2022The effects of negative reputational contagion on international airlines: The case of the Boeing 737-MAX disasters27 cited