Cristina Scherrer

We show that the standard econometric framework typically yields inconsistent estimates of price discovery measures in the presence of richer market...

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...

Journal of Business & Economic Statistics, 42(3), 1095–1106

International Review of Finance, 21 (3), 1106-1111

Journal of Financial Markets, 54, 100634