Price discovery with a richer market microstructure noise
We show that the standard econometric framework typically yields inconsistent estimates of price discovery measures in the presence of richer market...
DP 949
Time-varying price discovery
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...
DP 948
An Econometric Analysis of Volatility Discovery
Journal of Business & Economic Statistics, 42(3), 1095–1106
Information processing on equity prices and exchange rate for cross-listed stocks
Journal of Financial Markets, 54, 100634
