Estimation Procedure for "Price Formation in Call Auctions with Insider Information"

This note provides the details of the estimation procedure in Brünner (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.

MoreLess

Year of publication:	2021
Authors:	Brünner, Tobias
Publisher:	Lincoln : University of Lincoln, Lincoln International Business School, Lincoln Economics and Finance Research Group (LEAF)
Subject:	transaction cost \| call market \| asymmetric information \| Bayesian econometrics \| Monte Carlo Markov Chain algorithm

More details

Series:	LEAF Working Paper Series ; 21-01
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	1757150048 [GVK] hdl:10419/233813 [Handle] RePEc:zbw:leafwp:2101 [RePEc]
Classification:	D82 - Asymmetric and Private Information ; G14 - Information and Market Efficiency; Event Studies ; C11 - Bayesian Analysis
Source:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012507898