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Do ETFs lead the price moves? Evidence from the major US markets
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Do ETFs lead the price moves? Evidence from the major US markets (2017)Do ETFs lead the price moves? Evidence fr…Financial econometric analysis at ultra-high frequency: Data handling concerns (2006)Financial econometric analysi…Intraday Price Formation in U.S. Equity Index Markets (2003)Intraday Price Formation in U…The Message in Daily Exchange Rates (2002)The Message in Daily Exchange…Stalking the “efficient price” in market microstructure specifications: an overview (2002)Stalking the “efficient price…Measures of contributions to price discovery: a comparison (2002)Measures of contributions to …Price discovery on the S&P 500 index markets: An analysis of spot index, index futures, and SPDRs (1999)Price discovery on the S&P 50…Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Why Do Security Prices Change…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…Price discovery in petroleum markets: Arbitrage, cointegration, and the time interval of analysis (1994)Price discovery in petroleum …Common stochastic trends in international stock markets (1992)Common stochastic trends in i…A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market (1992)A Further Analysis of the Lea…The Dynamics of Stock Index and Stock Index Futures Returns (1990)The Dynamics of Stock Index a…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Testing for Common Trends (1988)Testing for Common TrendsThe Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index (1987)The Temporal Price Relationsh…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Trends and random walks in macroeconmic time series (1982)A PANIC Attack on Unit Roots and Cointegration (2004)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Predicting Volatility in the Foreign Exchange Market (1995)From value at risk to stress testing: The extreme value approach (2000)Generalized autoregressive conditional heteroskedasticity (1986)Testing for a Unit Root in Time Series Regression (1988)Bivariate garch estimation of the optimal commodity futures Hedge (1991)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)Modeling and Forecasting Realized Volatility (2001)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)A Theory of Intraday Patterns: Volume and Price Variability (1988)Inferring Trade Direction from Intraday Data (1991)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)The Relative Contribution of Jumps to Total Price Variance (2005)Liquidity and Market Efficiency (2007)Expected stock returns and volatility (1987)The Relation Between Price Changes and Trading Volume: A Survey (1987)A Theory of Trading in Stock Index Futures (1991)Intraday Volatility in the Stock Index and Stock Index Futures Markets (1991)Trading costs and the relative rates of price discovery in stock, futures, and option markets (1996)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)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)Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption (2004)Realized Variance and Market Microstructure Noise (2006)The econometrics of financial markets (1996)Country spreads and emerging countries: Who drives whom? (2005)Stock prices and exchange rate dynamics (2005)
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References

  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1988Testing for Common Trends1,894 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems1,313 cited
  • 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks960 cited
  • 1992Common stochastic trends in international stock markets944 cited
  • 1990The Dynamics of Stock Index and Stock Index Futures Returns803 cited
  • 2002The Message in Daily Exchange Rates791 cited
  • 1992A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market635 cited
  • 1987The Temporal Price Relationship Between S&P 500 Futures and the S&P 500 Index503 cited
  • 2003Intraday Price Formation in U.S. Equity Index Markets502 cited
  • 2006Financial econometric analysis at ultra-high frequency: Data handling concerns291 cited
  • 1994Price discovery in petroleum markets: Arbitrage, cointegration, and the time interval of analysis283 cited
  • 2002Stalking the “efficient price” in market microstructure specifications: an overview241 cited
  • 2002

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Measures of contributions to price discovery: a comparison
224 cited
  • 1999Price discovery on the S&P 500 index markets: An analysis of spot index, index futures, and SPDRs179 cited
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