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Common factor components versus information shares: a reply
9 references·12 citing·42 second hop
Common factor components versus information shares: a reply (2002)Common factor components versus informati…Estimation of Common Long Memory Components in Cointegrated Systems (2010)Estimation of Common Long Mem…Stalking the “efficient price” in market microstructure specifications: an overview (2002)Stalking the “efficient price…Security price adjustment across exchanges: an investigation of common factor components for Dow stocks (2002)Security price adjustment acr…Measures of contributions to price discovery: a comparison (2002)Measures of contributions to …Optimal control of execution costs (1998)Optimal control of execution …One Security, Many Markets: Determining the Contributions to Price Discovery (1995)One Security, Many Markets: D…Finite-Sample Properties of the Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models: A Monte Carlo Investigation (1995)Finite-Sample Properties of t…Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Estimation of Common Long-Mem…Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets (1995)Cointegration, Error Correcti…Price Discovery in High Resolution (2018)Price Discovery in High Resol…Price discovery in the S&P 500 index derivatives markets (2016)Price discovery in the S&P 50…The determinants of price discovery: Evidence from US-Canadian cross-listed shares (2015)The determinants of price dis…The effectiveness of position limits: Evidence from the foreign exchange futures markets (2013)The effectiveness of position…Has the introduction of S&P 500 ETF options led to improvements in price discovery of SPDRs? (2011)Has the introduction of S&P 5…Is There Price Discovery in Equity Options? (2010)Is There Price Discovery in E…Price discovery in the U.S. stock and stock options markets: A portfolio approach (2007)Price discovery in the U.S. s…Market quality and price discovery: Introduction of the E-mini energy futures (2005)Market quality and price disc…Basket Securities, Price Formation, and Informational Efficiency (2005)Basket Securities, Price Form…Effects of electronic trading on the Hang Seng Index futures market (2004)Effects of electronic trading…International Price Discovery for Emerging Market Stocks: Evidence from Indian GDRs (2003)International Price Discovery…Competition For Order Flow, Market Quality, And Price Discovery In The Nasdaq 100 Index Tracking Stock (2003)Competition For Order Flow, M…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Common factors in prices, order flows, and liquidity (2001)Stealth-trading: Which traders' trades move stock prices? (2001)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Measuring and Testing the Impact of News on Volatility (1993)An investigation of price discovery in informationally-linked markets: equity trading in Malaysia and Singapore (1999)Forecasting daily exchange rate volatility using intraday returns (2001)Cross-listing, price discovery and the informativeness of the trading process (2006)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)The Econometrics of Financial Markets (1997)Some desiderata for the measurement of price discovery across markets (2002)Realized Variance and Market Microstructure Noise (2004)A structural analysis of price discovery measures (2009)The Econometrics of Financial Markets (2012)The Pricing of Options and Corporate Liabilities (1973)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Statistical analysis of cointegration vectors (1988)The Information Content of the Term Structure of Risk-Neutral Skewness (2017)Noise traders, mispricing, and price adjustments in derivatives markets (2019)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for Common Trends (1988)Information shares in the US Treasury market (2007)A new information share measure (2009)News announcements and price discovery in foreign exchange spot and futures markets (2010)Cointegration and Tests of Present Value Models (1987)Inferring Trade Direction from Intraday Data (1991)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)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects (2004)Is there price discovery in equity options? (2012)The crude oil market and the gold market: Evidence for cointegration, causality and price discovery (2010)Measuring price discovery between nearby and deferred contracts in storable and nonstorable commodity futures markets (2020)High‐frequency trading: Definition, implications, and controversies (2021)Price discovery and common factor models (2002)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

  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 1998Optimal control of execution costs1,056 cited
  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems426 cited
  • 1995Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets366 cited
  • 2002Security price adjustment across exchanges: an investigation of common factor components for Dow stocks305 cited
  • 2002Stalking the “efficient price” in market microstructure specifications: an overview241 cited
  • 2002Measures of contributions to price discovery: a comparison224 cited
  • 1995Finite-Sample Properties of the Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models: A Monte Carlo Investigation124 cited
  • 2010Estimation of Common Long Memory Components in Cointegrated Systems53 cited

Cited by

  • 2018Price Discovery in High Resolution62 cited
  • 2007Price discovery in the U.S. stock and stock options markets: A portfolio approach55 cited
  • 2015The determinants of price discovery: Evidence from US-Canadian cross-listed shares44 cited
  • 2003Competition For Order Flow, Market Quality, And Price Discovery In The Nasdaq 100 Index Tracking Stock39 cited
  • 2016Price discovery in the S&P 500 index derivatives markets

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36 cited
  • 2003International Price Discovery for Emerging Market Stocks: Evidence from Indian GDRs33 cited
  • 2011Has the introduction of S&P 500 ETF options led to improvements in price discovery of SPDRs?32 cited
  • 2005Basket Securities, Price Formation, and Informational Efficiency31 cited
  • 2013The effectiveness of position limits: Evidence from the foreign exchange futures markets25 cited
  • 2005Market quality and price discovery: Introduction of the E-mini energy futures24 cited
  • 2004Effects of electronic trading on the Hang Seng Index futures market24 cited
  • 2010Is There Price Discovery in Equity Options?24 cited