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  • Search: subject:"vector error correction models (VECMs)"
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Year of publication
Subject
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Börsenkurs 2 Cointegration 2 Estimation theory 2 Kointegration 2 Schätztheorie 2 Share price 2 Vector error correction models (VECMs) 2 independent component analysis 2 information shares 2 market microstructure 2 price discovery 2 pseudo maximum likelihood 2 Estimation 1 Information dissemination 1 Informationsverbreitung 1 Market microstructure 1 Marktmikrostruktur 1 Schätzung 1 VAR model 1 VAR-Modell 1 high frequency trading 1 high resolution 1 polynomial distributed lags 1 sparsity 1 vector autoregression (VAR) 1 vector error correction models (VECMs) 1
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Online availability
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Free 2 Undetermined 1
Type of publication
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Book / Working Paper 2 Article 1
Type of publication (narrower categories)
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Working Paper 2 Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 3
Author
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Zema, Sebastiano Michele 2 Hasbrouck, Joel 1
Published in...
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Journal of financial econometrics 1 LEM Working Paper Series 1 LEM working paper series 1
Source
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ECONIS (ZBW) 2 EconStor 1
Showing 1 - 3 of 3
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A non-normal framework for price discovery: The Independent Component based Information Shares measure
Zema, Sebastiano Michele - 2023
I propose a new measure of price discovery, which I will refer to as the Independent Component based Information Share (IC-IS). This measure constitutes a variant of the widespread Information Share, with the main difference being it does not suffer the same identification issues. Under the...
Persistent link: https://www.econbiz.de/10014541819
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Cover Image
A non-normal framework for price discovery : the Independent Component based Information Shares measure
Zema, Sebastiano Michele - 2023
I propose a new measure of price discovery, which I will refer to as the Independent Component based Information Share (IC-IS). This measure constitutes a variant of the widespread Information Share, with the main difference being it does not suffer the same identification issues. Under the...
Persistent link: https://www.econbiz.de/10013489765
Saved in:
Cover Image
Price discovery in high resolution
Hasbrouck, Joel - In: Journal of financial econometrics 19 (2021) 3, pp. 395-430
Persistent link: https://www.econbiz.de/10012654935
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