Joakim Westerlund (), Simon Reese () and Paresh Narayan ()
Joakim Westerlund: Department of Economics, Lund University, Postal: Department of Economics, School of Economics and Management, Lund University, Box 7082, S-220 07 Lund, Sweden
Simon Reese: Department of Economics, Lund University, Postal: Department of Economics, School of Economics and Management, Lund University, Box 7082, S-220 07 Lund, Sweden
Paresh Narayan: Centre for Research in Economics and Financial Econometrics, Deakin 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.
35 pages, December 30, 2014
Questions (including download problems) about the papers in this series should be directed to Prakriti Thami ()
Report other problems with accessing this service to Sune Karlsson ().
This page generated on 2021-12-07 07:46:08.