Price discovery and common factor models

By Richard T. Baillie, G. Booth, Y. Tse, Tatyana Zabotina. 2002

536 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ebc4bc079afccbc222afdfdb26c3fb574b40edb3

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Citations in the corpus

Modelling and Measuring Price Discovery in Commodity Markets (2010, unknown): “This is discussed by Baillie et al. (2002). A comparison of both approaches can also be found in Yan and Zivot (2007). There are two drawbacks of the PT decomposition that are worthwhile noting. First, in order for (4) to exist we need to guarantee the existence of the inverse matrices involved in (”
Island Goes Dark: Transparency, Fragmentation, and Regulation (2005, methodology): “A more detailed overview of this and alternative procedures is provided by Baillie et al. (2002), de Jong (2002), Harris, McInish, and Wood (2002), Hasbrouck (2003), and Lehmann (2002).”
What Do Price Discovery Metrics Really Measure (2013, methodology): “A key feature of the model is that it allows price series to differ in two important ways: (i) noise (e.g., microstructure frictions such as tick 1 For a good review of IS and CS and how they are related see Baillie et al. (2002), Lehman (2002) and Yan and Zivot (2010).”
An empirical analysis of the dynamic relationship between investment grade bonds and credit default swaps (2005, unknown): “However, Baillie et al. (2002) argue that the average of these bounds provides a sensible estimate of the markets’ roles in the discovery of the efficient price.”
Credit Spreads: An Empirical Analysis on the Informational Content of Stocks, Bonds, and CDS (2009, methodology): “As suggested by Baillie et al. (2002), we use the midpoint of these bounds (HM).”
The crude oil market and the gold market: Evidence for cointegration, causality and price discovery (2010, background): “According to Baillie et al. (2002), when there does not exist significant correlation between the two residual terms arising from the cointegration regression equations for the crude oil price and gold price, the IS model can be specified as: 2 2 2 2 2 2 1 1 2 2 i i iIS = + , 1, 2i = .”
The information content of an open limit‐order book (2009, unknown): “For detailed discussion, we refer readers to Hasbrouck (1995, 2002), Baillie et al. (2002), Booth et al.”
Informed Trading in Stock and Option Markets (2004, methodology): “SFor additional information on Hasbrouck's technique along with alternative measures of price discovery, see Baillie et al. (2002), de Jong (2002), Harris, McInish, and Wood (2002), Hasbrouck (2002), and Lehmann (2002).”