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Telltale Tails: A New Approach to Estimating Unique Market Information Shares
16 references·6 citing·39 second hop
Telltale Tails: A New Approach to Estimating Unique Market Information Shares (2013)Telltale Tails: A New Approach to Estimat…An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps (2006)An Empirical Analysis of the …An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)An Empirical Analysis of the …Intraday Price Formation in U.S. Equity Index Markets (2003)Intraday Price Formation in U…Identification Through Heteroskedasticity (2003)Identification Through Hetero…Price discovery and common factor models (2002)Price discovery and common fa…The Determinants of Credit Spread Changes (2001)The Determinants of Credit Sp…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…Valuing Credit Default Swaps I (2000)Valuing Credit Default Swaps IOrder flow composition and trading costs in a dynamic limit order market (1999)Order flow composition and tr…Credit Swap Valuation (1999)Credit Swap ValuationLiquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…One Security, Many Markets: Determining the Contributions to Price Discovery (1995)One Security, Many Markets: D…Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Likelihood-Based Inference in…Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Estimation of Common Long-Mem…Time and the Process of Security Price Adjustment (1992)Time and the Process of Secur…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Price discovery on Bitcoin markets (2019)Price discovery on Bitcoin ma…Price Discovery in Agricultural Futures Markets: Should We Look beyond the Best Bid‐Ask Spread? (2019)Price Discovery in Agricultur…Price Discovery in High Resolution (2018)Price Discovery in High Resol…Price discovery in agricultural commodity markets in the presence of futures speculation (2017)Price discovery in agricultur…Intraday price discovery in fragmented markets (2017)Intraday price discovery in f…The financial econometrics of price discovery and predictability (2015)The financial econometrics of…Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A PANIC Attack on Unit Roots and Cointegration (2004)Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption (2004)Realized Variance and Market Microstructure Noise (2006)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Expected stock returns and volatility (1987)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)5 Stochastic volatility (1996)Asset pricing and the bid-ask spread (1986)The Components of the Bid-Ask Spread: A General Approach (1997)Liquidity and stock returns: An alternative test (1998)Market microstructure: A survey (2000)Cointegration and Tests of Present Value Models (1987)Inferring Trade Direction from Intraday Data (1991)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Common risk factors in the returns on stocks and bonds (1993)Prospect Theory and Asset Prices (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Credit Spreads and Business Cycle Fluctuations (2012)Modeling Term Structures of Defaultable Bonds (1999)Insider trading in credit derivatives☆ (2007)A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk (2014)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Measuring The Reaction of Monetary Policy to the Stock Market (2003)The impact of monetary policy on asset prices (2004)Real-time price discovery in global stock, bond and foreign exchange markets (2007)Bounds testing approaches to the analysis of level relationships (2001)Generalized impulse response analysis in linear multivariate models (1998)Numerical distribution functions of likelihood ratio tests for cointegration (1999)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models5,336 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2001The Determinants of Credit Spread Changes2,253 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems1,313 cited
  • 1992Time and the Process of Security Price Adjustment1,225 cited
  • 2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps1,166 cited
  • 2003Identification Through Heteroskedasticity922 cited
  • 1999Order flow composition and trading costs in a dynamic limit order market673 cited
  • 1999Credit Swap Valuation636 cited
  • 2006An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps629 cited
  • 2002Price discovery and common factor models546 cited
  • 2003Intraday Price Formation in U.S. Equity Index Markets

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502 cited
  • 2000Valuing Credit Default Swaps I426 cited
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    • 2017Price discovery in agricultural commodity markets in the presence of futures speculation81 cited
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    • 2019Price discovery on Bitcoin markets52 cited
    • 2017Intraday price discovery in fragmented markets35 cited
    • 2015The financial econometrics of price discovery and predictability34 cited
    • 2019Price Discovery in Agricultural Futures Markets: Should We Look beyond the Best Bid‐Ask Spread?29 cited