A Factor Analytical Approach to Price Discovery
(2015) In Working Paper / Department of Economics, School of Economics and Management, Lund University- Abstract
- Existing econometric approaches for studying price discovery presume that the number of markets are small, and their properties become suspect when this restriction is not met. They also require making identifying restrictions and are in many cases not suitable for statistical inference. The current paper takes these shortcomings as a starting point to develop a factor analytical approach that makes use of the cross-sectional variation of the data, yet is very user-friendly in that it does not involve any identifying restrictions or obstacles to inference.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/5044648
- author
- Reese, Simon LU ; Westerlund, Joakim LU and Narayan, Paresh
- organization
- publishing date
- 2015
- type
- Working paper/Preprint
- publication status
- published
- subject
- keywords
- Price discovery, panel data, common factor models, cross-unit cointegration
- in
- Working Paper / Department of Economics, School of Economics and Management, Lund University
- issue
- 4
- pages
- 35 pages
- publisher
- Department of Economics, Lund University
- language
- English
- LU publication?
- yes
- id
- 6de8f042-8258-4855-bb92-44fc14b54c0c (old id 5044648)
- alternative location
- http://swopec.hhs.se/lunewp/abs/lunewp2015_004.htm
- date added to LUP
- 2016-04-04 11:33:29
- date last changed
- 2018-11-21 21:05:37
@misc{6de8f042-8258-4855-bb92-44fc14b54c0c, abstract = {{Existing econometric approaches for studying price discovery presume that the number of markets are small, and their properties become suspect when this restriction is not met. They also require making identifying restrictions and are in many cases not suitable for statistical inference. The current paper takes these shortcomings as a starting point to develop a factor analytical approach that makes use of the cross-sectional variation of the data, yet is very user-friendly in that it does not involve any identifying restrictions or obstacles to inference.}}, author = {{Reese, Simon and Westerlund, Joakim and Narayan, Paresh}}, keywords = {{Price discovery; panel data; common factor models; cross-unit cointegration}}, language = {{eng}}, note = {{Working Paper}}, number = {{4}}, publisher = {{Department of Economics, Lund University}}, series = {{Working Paper / Department of Economics, School of Economics and Management, Lund University}}, title = {{A Factor Analytical Approach to Price Discovery}}, url = {{http://swopec.hhs.se/lunewp/abs/lunewp2015_004.htm}}, year = {{2015}}, }