A structural analysis of price discovery measures

Journal of Financial Markets

Volumn 13, Issue 1, 2010, Pages 1-19

  Yan, Bingcheng ^a   Zivot, Eric ^b  

^a Numeric Investors LLC   (United States)

^b UNIVERSITY OF WASHINGTON   (United States)

Author keywords

Cointegration; Information shares; Permanent transitory decomposition; Price discovery; Structural model

Indexed keywords

EID: 70450235258     PISSN: 13864181     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.finmar.2009.09.003     Document Type: Article

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