Modeling around the clock price discovery for cross listed stocks using state space methods
Menkveld, Albert J. et al.
Modeling around the clock price discovery for cross listed stocks using state space methods 2007 - 2007 - 213-225 V. 25 Issue. 2
Economic Statistics
Efficient price;Financial markets;High frequency data: kalman filter;Unobserved components time series models;
Modeling around the clock price discovery for cross listed stocks using state space methods 2007 - 2007 - 213-225 V. 25 Issue. 2
Economic Statistics
Efficient price;Financial markets;High frequency data: kalman filter;Unobserved components time series models;