Measures of Contributions to Price Discovery: A Comparison

By F. Jong. 2002

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A Structural Analysis of Price Discovery Measures (2010, methodology): “To estimate Ψ(1), we use the Johansen factorization (10) and the estimate of ψ is taken to be the common row of the estimate of Ψ(1).”
Island Goes Dark: Transparency, Fragmentation, and Regulation (2005, methodology): “(2002), de Jong (2002), Harris, McInish, and Wood (2002), Hasbrouck (2003), and Lehmann (2002).”
News announcements and price discovery in foreign exchange spot and futures markets (2010, background): “Furthermore, de Jong (2002) shows that the two measures are closely related, though only the information share takes the variability of the innovations in each market’s price into account.”
Realized Variance and Market Microstructure Noise (2006, background): “This relation is discussed in Johansen (1996), see also Hansen & Johansen (1998, pp. 27-28), and similar arguments later appeared in de Jong (2002) and Baillie, Booth, Tse & Zabotina (2002), see also Harris et al. (2002) and Lehmann (2002).”
Informed Trading in Stock and Option Markets (2004, result): “(1995), Easley et al. (1998) and others suggest that it does, but the lead-lag studies of Stephan and Whaley (1990), Chan et al.”