
Be the first to like this
Slideshare uses cookies to improve functionality and performance, and to provide you with relevant advertising. If you continue browsing the site, you agree to the use of cookies on this website. See our User Agreement and Privacy Policy.
Slideshare uses cookies to improve functionality and performance, and to provide you with relevant advertising. If you continue browsing the site, you agree to the use of cookies on this website. See our Privacy Policy and User Agreement for details.
Published on
We formulate a continuoustime price discovery model in which the price discovery measure varies (stochastically) at daily frequency. We estimate daily measures of price discovery using a kernelbased OLS estimator instead of running separate daily VECM regressions as standard in the literature. We show that our estimator is not only consistent, but also outperforms the standard daily VECM in finite samples. We illustrate our theoretical findings by studying the price discovery process of 10 actively traded stocks in the U.S. from 2007 to 2013.
Date: 201703
Authors:
Dias, Gustavo Fruet
Fernandes, Marcelo
Scherrer, Cristina Mabel
Be the first to like this
Be the first to comment