Joakim Westerlund
Professor, Programme director – Master of Data Analytics and Business Economics
A Factor Analytical Approach to Price Discovery
Author
Summary, in English
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.
Department/s
- Department of Economics
Publishing year
2017-06
Language
English
Pages
366-394
Publication/Series
Oxford Bulletin of Economics and Statistics
Volume
79
Issue
3
Document type
Journal article
Publisher
Wiley-Blackwell
Topic
- Economics
Keywords
- Common factor models
- Cross-unit cointegration
- Panel data
- Price discovery
Status
Published
ISBN/ISSN/Other
- ISSN: 0305-9049