Tell-tale tails: A data driven approach to estimate unique market information shares
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Keywordsprice discovery; information share; fat tails; tail dependence; liquidity; credit risk;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-11-06 (All new papers)
- NEP-BAN-2010-11-06 (Banking)
- NEP-MST-2010-11-06 (Market Microstructure)
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