Fruet Dias, Gustavo; Fernandes, Marcelo; Scherrer, … - 2023
We formulate a price discovery model in which the price discovery measures vary either locally, say, for instance, at … intervals of 30 minutes or at a daily frequency. Given the empirical and theoretical evidence that price discovery measures …. The resulting kernel-based price discovery measures are consistent and asymptotically normal. Empirically, we compute …