How well does the weighted price contribution measure price discovery?

DOI10.1016/J.JEDC.2015.04.002zbMath1401.91444OpenAlexW3123682488MaRDI QIDQ1657556

Minxian Yang, Jianxin Wang

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

zbMATH Keywords

information flowprice discoveryovernight returnefficient priceinformation shareweighted price contribution

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

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