@article{153f4c8a26224a9a92b5b6710c1dc72b,
title = "A factor analytical approach to price discovery",
abstract = "Existing econometric approaches for studying price discovery presume that the number of markets are small, and their properties become suspect when this restriction is not met. They also require making identifying restrictions and are in many cases not suitable for statistical inference. The current paper takes these shortcomings as a starting point to develop a factor analytical approach that makes use of the cross-sectional variation of the data, yet is very user-friendly in that it does not involve any identifying restrictions or obstacles to inference.",
keywords = "common factor models, cross-unit cointegration, panel data, Price discovery",
author = "Joakim Westerlund and Simon Reese and Paresh Narayan",
note = "Funding Information: Earlier versions of this paper were presented at the 1st Conference on Recent Developments in Financial Econometrics and Applications in Geelong and at the 8th International Conference on Computational and Financial Econometrics in Pisa. The authors would like to thank conference participants, and in particular Morten orregaard Nielsen, Debopam Bhattacharya (Editor) and two anonymous referees for many useful comments and suggestions. Westerlund thanks the Knut and Alice Wallenberg Foundation for financial support through a Wallenberg Academy Fellowship. Thank you also to the Jan Wallander and Tom Hedelius Foundation for financial support under research grant number P2014?0112:1. Publisher Copyright: {\textcopyright} 2017 The Department of Economics, University of Oxford and John Wiley \& Sons Ltd Copyright: Copyright 2017 Elsevier B.V., All rights reserved.",
year = "2017",
month = jun,
doi = "10.1111/obes.12167",
language = "English",
volume = "79",
pages = "366--394",
journal = "Oxford Bulletin of Economics and Statistics",
issn = "0305-9049",
publisher = "Wiley-Blackwell",
number = "3",
}