Bootstrap Confidence Intervals and Hypothesis Testing for Market Information Shares
[Price Discovery and Common Factor Models]
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More about this item
Keywords
bootstrap inference; cointegration; Monte Carlo simulation; price discovery;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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