How well does the weighted price contribution measure price discovery?
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Publication:1657556
DOI10.1016/j.jedc.2015.04.002zbMath1401.91444MaRDI QIDQ1657556
Publication date: 13 August 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2015.04.002
information flow; price discovery; overnight return; efficient price; information share; weighted price contribution
91B64: Macroeconomic theory (monetary models, models of taxation)