| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3971 |
| DP3971 Financial Contracting with Optimistic Entrepreneurs: Theory and Evidence | |
| David Thesmar; Augustin Landier | |
| 发表日期 | 2003-07-23 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | This Paper proposes a structural time series model for the intra-day price dynamics of fragmented financial markets. We generalize the structural model of Hasbrouck (1993) to a multivariate setting. We discuss identification issues and propose a new measure for the contribution of each market to price discovery. We illustrate the model by an empirical example using Nasdaq dealer quotes. |
| 主题 | Financial Economics |
| 关键词 | High-frequency data Microstructure Structural time series models |
| URL | https://cepr.org/publications/dp3971 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532952 |
| 推荐引用方式 GB/T 7714 | David Thesmar,Augustin Landier. DP3971 Financial Contracting with Optimistic Entrepreneurs: Theory and Evidence. 2003. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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