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Common factor components versus information shares: a reply

  • Harris, Frederick H. deB.
  • McInish, Thomas H.
  • Wood, Robert A.

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File URL: http://www.sciencedirect.com/science/article/B6VHN-45H0GM7-2/2/a18a48f3ff8383d1765ac52d65a5bd1b
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Article provided by Elsevier in its journal Journal of Financial Markets.

Volume (Year): 5 (2002)
Issue (Month): 3 (July)
Pages: 341-348

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Handle: RePEc:eee:finmar:v:5:y:2002:i:3:p:341-348
Contact details of provider: Web page: http://www.elsevier.com/locate/finmar

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  1. Harris, Frederick H Deb & McInish, Thomas H, 2000. " A Regime-Level Empirical Model of the Specialist Quote Revision Process," Review of Quantitative Finance and Accounting, Springer, vol. 14(4), pages 399-417, June.
  2. Gonzalo, Jesus & Granger, Clive W J, 1995. "Estimation of Common Long-Memory Components in Cointegrated Systems," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 27-35, January.
  3. Hasbrouck, Joel, 1995. " One Security, Many Markets: Determining the Contributions to Price Discovery," Journal of Finance, American Finance Association, vol. 50(4), pages 1175-99, September.
  4. deB. Harris, Frederick H. & McInish, Thomas H. & Chakravarty, Ranjan R., 1995. "Bids and asks in disequilibrium market microstructure: The case of IBM," Journal of Banking & Finance, Elsevier, vol. 19(2), pages 323-345, May.
  5. deB. Harris, Frederick H. & McInish, Thomas H. & Wood, Robert A., 2002. "Security price adjustment across exchanges: an investigation of common factor components for Dow stocks," Journal of Financial Markets, Elsevier, vol. 5(3), pages 277-308, July.
  6. deB. Harris, Frederick H. & McInish, Thomas H. & Shoesmith, Gary L. & Wood, Robert A., 1995. "Cointegration, Error Correction, and Price Discovery on Informationally Linked Security Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(04), pages 563-579, December.
  7. Bertsimas, Dimitris & Lo, Andrew W., 1998. "Optimal control of execution costs," Journal of Financial Markets, Elsevier, vol. 1(1), pages 1-50, April.
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