Improving on daily measures of price discovery
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/18017 |
Resumo: | We formulate a continuous-time price discovery model in which the price discovery measure varies (stochastically) at daily frequency. We estimate daily measures of price discovery using a kernel-based OLS estimator instead of running separate daily VECM regressions as standard in the literature. We show that our estimator is not only consistent, but also outperforms the standard daily VECM in finite samples. We illustrate our theoretical findings by studying the price discovery process of 10 actively traded stocks in the U.S. from 2007 to 2013. |
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Dias, Gustavo FruetFernandes, MarceloScherrer, Cristina MabelEscolas::EESP2017-03-07T15:07:10Z2017-03-07T15:07:10Z2017TD 444http://hdl.handle.net/10438/18017We formulate a continuous-time price discovery model in which the price discovery measure varies (stochastically) at daily frequency. We estimate daily measures of price discovery using a kernel-based OLS estimator instead of running separate daily VECM regressions as standard in the literature. We show that our estimator is not only consistent, but also outperforms the standard daily VECM in finite samples. We illustrate our theoretical findings by studying the price discovery process of 10 actively traded stocks in the U.S. from 2007 to 2013.engEESP - Textos para Discussão;TD 444High-frequency dataPrice discoveryKernel regressionTime-varying coefficient modelsVECMEconomiaPreçosValor (Economia)Improving on daily measures of price discoveryinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessTEXTTD 444 - Gustavo_Marcelo_Cristina.pdf.txtTD 444 - Gustavo_Marcelo_Cristina.pdf.txtExtracted texttext/plain38278https://repositorio.fgv.br/bitstreams/372275be-a4c1-49d5-b67f-db7ce731695b/downloadbd7682d9d89c26cc588c57e712133beaMD58ORIGINALTD 444 - Gustavo_Marcelo_Cristina.pdfTD 444 - 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dc.title.eng.fl_str_mv |
Improving on daily measures of price discovery |
title |
Improving on daily measures of price discovery |
spellingShingle |
Improving on daily measures of price discovery Dias, Gustavo Fruet High-frequency data Price discovery Kernel regression Time-varying coefficient models VECM Economia Preços Valor (Economia) |
title_short |
Improving on daily measures of price discovery |
title_full |
Improving on daily measures of price discovery |
title_fullStr |
Improving on daily measures of price discovery |
title_full_unstemmed |
Improving on daily measures of price discovery |
title_sort |
Improving on daily measures of price discovery |
author |
Dias, Gustavo Fruet |
author_facet |
Dias, Gustavo Fruet Fernandes, Marcelo Scherrer, Cristina Mabel |
author_role |
author |
author2 |
Fernandes, Marcelo Scherrer, Cristina Mabel |
author2_role |
author author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.author.fl_str_mv |
Dias, Gustavo Fruet Fernandes, Marcelo Scherrer, Cristina Mabel |
dc.subject.eng.fl_str_mv |
High-frequency data Price discovery Kernel regression Time-varying coefficient models VECM |
topic |
High-frequency data Price discovery Kernel regression Time-varying coefficient models VECM Economia Preços Valor (Economia) |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Preços Valor (Economia) |
description |
We formulate a continuous-time price discovery model in which the price discovery measure varies (stochastically) at daily frequency. We estimate daily measures of price discovery using a kernel-based OLS estimator instead of running separate daily VECM regressions as standard in the literature. We show that our estimator is not only consistent, but also outperforms the standard daily VECM in finite samples. We illustrate our theoretical findings by studying the price discovery process of 10 actively traded stocks in the U.S. from 2007 to 2013. |
publishDate |
2017 |
dc.date.accessioned.fl_str_mv |
2017-03-07T15:07:10Z |
dc.date.available.fl_str_mv |
2017-03-07T15:07:10Z |
dc.date.issued.fl_str_mv |
2017 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
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article |
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publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/18017 |
dc.identifier.sici.none.fl_str_mv |
TD 444 |
identifier_str_mv |
TD 444 |
url |
http://hdl.handle.net/10438/18017 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.ispartofseries.por.fl_str_mv |
EESP - Textos para Discussão;TD 444 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
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