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ArticlePrice discovery and common factor models

Richard T. Baillie2002

Article2002

Price discovery and common factor models

Richard T. Baillie · G. Geoffrey Booth · Yiuman Tse · Tatyana Zabotina

546 citations·0/0 files stored·Journal of Financial Markets

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 546 citations exist upstream.

References

1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1995One Security, Many Markets: Determining the Contributions to Price Discovery 1988Variable Trends in Economic Time Series 1995Estimation of Common Long-Memory Components in Cointegrated Systems

Cited by

2003Intraday Price Formation in U.S. Equity Index Markets 2010The crude oil market and the gold market: Evidence for cointegration, causality and price discovery 2004An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps 2009Credit spreads: An empirical analysis on the informational content of stocks, bonds, and CDS 2004Realized Variance and Market Microstructure Noise 2002Some desiderata for the measurement of price discovery across markets 2009A structural analysis of price discovery measures 2005Island Goes Dark: Transparency, Fragmentation, and Regulation

Details

Year2002

Typearticle

Published2002-07-01

VenueJournal of Financial Markets

ISSN-L1386-4181

Languageen

Citations546

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.1016/s1386-4181(02)00027-7

openalex_workW1978867264

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