Mixture of distribution hypothesis: analyzing daily liquidity frictions and information flows

DOI10.1016/J.JECONOM.2017.08.014zbMath1377.62209OpenAlexW2752813255MaRDI QIDQ1676386

Serge Darolles, Gulten Mero, Gaëlle Le Fol

Publication date: 7 November 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.08.014

zbMATH Keywords

extended Kalman filtermarket efficiencyinformation-based tradingmixture of distribution hypothesisstrategic liquidity trading

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (2)

Editors' introduction ⋮ Stock market volatility and public information flow: a non-linear perspective

Cites Work

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• Large Sample Properties of Generalized Method of Moments Estimators
• Why is equity order flow so persistent?
• Hypothesis Testing with Efficient Method of Moments Estimation
• The Price Variability-Volume Relationship on Speculative Markets
• Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders
• Common risk factors in the returns on stocks and bonds
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

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