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Joakim Westerlund. Photo.

Joakim Westerlund

Professor, Programme director – Master of Data Analytics and Business Economics

Joakim Westerlund. Photo.

A Factor Analytical Approach to Price Discovery

Author

  • Joakim Westerlund
  • Simon Reese
  • Paresh Narayan

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