An improved estimation method and empirical properties of the probability of informed trading

Journal of Banking and Finance

Volumn 36, Issue 2, 2012, Pages 454-467

  Yan, Yuxing ^a   Zhang, Shaojun ^b  

^a LOYOLA UNIVERSITY MARYLAND   (United States)

^b HONG KONG POLYTECHNIC UNIVERSITY   (Hong Kong)

Author keywords

Boundary solution; PIN; Probability of informed trading

Indexed keywords

EID: 81955168008     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2011.08.003     Document Type: Article

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