Estimation procedure for "price formation in call actions with insider information"

Tobias Brünner

This note provides the details of the estimation procedure in Br¨unner (2019). In Section 2 we derive the posterior distribution. Section 3 describes the MCMC algorithm used to obtain draws from the posterior distribution and in Section 4 we present the method for our model check. We conclude with a presentation of the estimation results.

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Year of publication:	[2021]
Authors:	Brünner, Tobias
Publisher:	Lincoln : Lincoln International Business School, University of Lincoln
Subject:	transaction cost \| call market \| asymmetric information \| Bayesian econometrics \| Monte Carlo Markov Chain algorithm \| Asymmetrische Information \| Asymmetric information \| Markov-Kette \| Markov chain \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Insiderhandel \| Insider trading \| Transaktionskosten \| Transaction costs \| Schätztheorie \| Estimation theory \| Bayes-Statistik \| Bayesian inference

Extent:	1 Online-Ressource (circa 9 Seiten)
Series:	LEAF working paper series : Lincoln economics and finance. - Lincoln : Lincoln International Business School, University of Lincoln, ZDB-ID 3001915-1. - Vol. no. 21, 01
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	hdl:10419/233813 [Handle]
Classification:	D82 - Asymmetric and Private Information ; G14 - Information and Market Efficiency; Event Studies ; C11 - Bayesian Analysis
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012507949