Mixture of distribution hypothesis : analyzing daily liquidity frictions and information flows
Serge Darolles, Gaëlle Le Fol, Gulten Mero
| Year of publication: |
December 2017
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| Authors: | Darolles, Serge ; LeFol, Gaëlle ; Mero, Gulten |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 201.2017, 2, p. 367-383
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| Subject: | Strategic liquidity trading | Market efficiency | Mixture of distribution hypothesis | Information-based trading | Extended Kalman Filter | Theorie | Theory | Effizienzmarkthypothese | Efficient market hypothesis | Informationsverbreitung | Information dissemination | Asymmetrische Information | Asymmetric information | Zustandsraummodell | State space model | Liquidität | Liquidity | Schätzung | Estimation | Börsenkurs | Share price | Wertpapierhandel | Securities trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2017.08.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011920520