This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Some desiderata for the measurement of price discovery across markets

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Lehmann, Bruce N.
Abstract

No abstract is available for this item.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.sciencedirect.com/science/article/B6VHN-45F940W-2/2/46d8db9d23238b99ae355fcb192ce46b
File Format:
File Function:
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by Elsevier in its journal Journal of Financial Markets.

Volume (Year): 5 (2002)
Issue (Month): 3 (July)
Pages: 259-276
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:eee:finmar:v:5:y:2002:i:3:p:259-276

Contact details of provider:
Web page: http://www.elsevier.com/locate/finmar

For technical questions regarding this item, or to correct its listing, contact: (Heidi Boesdal).

Related research
Keywords:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Ahlgren, Niklas & Sjöö, Boo & Zhang, Jianhua, 2003. "Panel Cointegration of Chinese A and B Shares," Working Papers 500, Hanken School of Economics.
  2. Bruce Mizrach & Christopher J. Neely, 2007. "Information shares in the U.S. treasury market," Working Papers 2005-070, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:
  3. Yoon Sook Kim & Jorge A. Chan-Lau, 2004. "Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets," IMF Working Papers 04/27, International Monetary Fund. [Downloadable!]
  4. Naohiko Baba & Masakazu Inada, 2007. "Price Discovery of Credit Spreads for Japanese Mega-Banks: Subordinated Bond and CDS," IMES Discussion Paper Series 07-E-06, Institute for Monetary and Economic Studies, Bank of Japan. [Downloadable!]
  5. Bingcheng Yan & Eric Zivot, 2007. "A Structural Analysis of Price Discovery Measures," Working Papers UWEC-2006-08-FC, University of Washington, Department of Economics, revised Apr 2007. [Downloadable!]
  6. de Jong, Frank & Schotman, Peter C, 2003. "Price Discovery in Fragmented Markets," CEPR Discussion Papers 3987, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  7. Roberto Blanco & Simon Brennan & Ian W Marsh, . "An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps," Bank of England working papers 211, Bank of England. [Downloadable!]
  8. Alessandro Girardi, 2008. "The Informational Content of Trades on the EuroMTS Platform," ISAE Working Papers 97, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]
  9. PASCUAL, Roberto & VEREDAS, David, 2006. "Does the open limit order book matter in explaining long run volatility ?," CORE Discussion Papers 2006110, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
Statistics
Access and download statistics

Did you know? IDEAS is not the only service displaying RePEc data. Choose on RePEc which service fits your needs best.

This page was last updated on 2009-12-3.


This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.