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A Factor Analytical Approach to Price Discovery

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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.

Publishing year

2015

Language

English

Publication/Series

Working Paper / Department of Economics, School of Economics and Management, Lund University

Issue

4

Document type

Working paper

Publisher

Department of Economics, Lund University

Topic

  • Economics

Keywords

  • Price discovery
  • panel data
  • common factor models
  • cross-unit cointegration

Status

Published