Directed acyclic graph based information shares for price discovery
From MaRDI portal
Publication:2152334
DOI10.1016/j.jedc.2022.104434zbMath1492.91363OpenAlexW4229448546MaRDI QIDQ2152334
Publication date: 8 July 2022
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2022.104434
independent component analysisdirected acyclic graphsmicrostructure noiseinformation sharesstructural VECM
Related Items (1)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Identification and estimation of non-Gaussian structural vector autoregressions
- A generalized normal distribution
- Statistical inference for independent component analysis: application to structural VAR models
- Jump-robust volatility estimation using nearest neighbor truncation
- High frequency market microstructure noise estimates and liquidity measures
- Independent component analysis by general nonlinear Hebbian-like learning rules
- Independent component analysis, a new concept?
- A method for agent-based models validation
- Simulation of thep-generalized Gaussian distribution
- Independent component analysis: recent advances
- Structural Vector Autoregressions With Nonnormal Residuals
- Simulation techniques for generalized Gaussian densities
- Performance analysis of the FastICA algorithm and Crame/spl acute/r-rao bounds for linear independent component analysis
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Identification and Estimation in Non-Fundamental Structural VARMA Models
- Inferential Aspects of the Skew Exponential Power Distribution
- Exploiting the errors: a simple approach for improved volatility forecasting
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
This page was built for publication: Directed acyclic graph based information shares for price discovery
