Panel data measures of price discovery

DOI10.1080/07474938.2021.1912973OpenAlexW3165435416MaRDI QIDQ5865511

Hande Karabiyik, Joakim Westerlund, Paresh Kumar Narayan

Publication date: 9 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2021.1912973

zbMATH Keywords

panel dataprice discoverypermanent-transitory decompositioninformation share

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Modelling and measuring price discovery in commodity markets
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Estimating long-run relationships from dynamic heterogeneous panels
• Weak and strong cross‐section dependence and estimation of large panels
• Panel Vector Autoregressive Models: A Survey
• A bias-adjusted LM test of error cross-section independence
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Pooled Mean Group Estimation of Dynamic Heterogeneous Panels
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Inference on co-integration parameters in heteroskedastic vector autoregressions

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