Modeling around-the-clock price discovery for cross-listed stocks using state space methods

Journal of Business and Economic Statistics

Volumn 25, Issue 2, 2007, Pages 213-225

  Menkveld, Albert J ^a   Koopman, Siem Jan ^a   Lucas, André ^a  

^a VU UNIVERSITY AMSTERDAM   (Netherlands)

Author keywords

Efficient price; Financial markets; High frequency data; Kalman filter; Unobserved components time series models

Indexed keywords

EID: 34248575831     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500106000000594     Document Type: Article

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