Matches in SemOpenAlex for { <https://semopenalex.org/work/W1583424124> ?p ?o ?g. }
Showing items 1 to 95 of
95
with 100 items per page.
- W1583424124 abstract "This paper addresses and resolves the issue of microstructure noise when measuring the relative importance of home and U.S. market in the price discovery process of Canadian interlisted stocks. In order to avoid large bounds for information shares, previous studies applying the Cholesky decomposition within the Hasbrouck (1995) framework had to rely on high frequency data. However, due to the considerable amount of microstructure noise inherent in return data at very high frequencies, these estimators are distorted. We offer a modified approach that identifies unique information shares based on distributional assumptions and thereby enables us to control for microstructure noise. Our results indicate that the role of the U.S. market in the price discovery process of Canadian interlisted stocks has been underestimated so far. Moreover, we suggest that rather than stock specific factors, market characteristics determine information shares." @default.
- W1583424124 created "2016-06-24" @default.
- W1583424124 creator A5049018274 @default.
- W1583424124 creator A5061133482 @default.
- W1583424124 date "2008-01-01" @default.
- W1583424124 modified "2023-09-27" @default.
- W1583424124 title "International Price Discovery in the Presence of Microstructure Noise" @default.
- W1583424124 cites W1978867264 @default.
- W1583424124 cites W1998856889 @default.
- W1583424124 cites W2048513706 @default.
- W1583424124 cites W2049066855 @default.
- W1583424124 cites W2086987861 @default.
- W1583424124 cites W2116107676 @default.
- W1583424124 cites W2121029606 @default.
- W1583424124 cites W2153900362 @default.
- W1583424124 cites W2155794029 @default.
- W1583424124 cites W2159593877 @default.
- W1583424124 cites W3123991599 @default.
- W1583424124 cites W3125584742 @default.
- W1583424124 cites W3141830910 @default.
- W1583424124 cites W161934152 @default.
- W1583424124 hasPublicationYear "2008" @default.
- W1583424124 type Work @default.
- W1583424124 sameAs 1583424124 @default.
- W1583424124 citedByCount "0" @default.
- W1583424124 crossrefType "posted-content" @default.
- W1583424124 hasAuthorship W1583424124A5049018274 @default.
- W1583424124 hasAuthorship W1583424124A5061133482 @default.
- W1583424124 hasConcept C10138342 @default.
- W1583424124 hasConcept C105795698 @default.
- W1583424124 hasConcept C106159729 @default.
- W1583424124 hasConcept C106306483 @default.
- W1583424124 hasConcept C115961682 @default.
- W1583424124 hasConcept C121332964 @default.
- W1583424124 hasConcept C149782125 @default.
- W1583424124 hasConcept C154945302 @default.
- W1583424124 hasConcept C158693339 @default.
- W1583424124 hasConcept C162324750 @default.
- W1583424124 hasConcept C182306322 @default.
- W1583424124 hasConcept C185429906 @default.
- W1583424124 hasConcept C2992108970 @default.
- W1583424124 hasConcept C33923547 @default.
- W1583424124 hasConcept C34727166 @default.
- W1583424124 hasConcept C39658296 @default.
- W1583424124 hasConcept C41008148 @default.
- W1583424124 hasConcept C51926234 @default.
- W1583424124 hasConcept C62520636 @default.
- W1583424124 hasConcept C99498987 @default.
- W1583424124 hasConceptScore W1583424124C10138342 @default.
- W1583424124 hasConceptScore W1583424124C105795698 @default.
- W1583424124 hasConceptScore W1583424124C106159729 @default.
- W1583424124 hasConceptScore W1583424124C106306483 @default.
- W1583424124 hasConceptScore W1583424124C115961682 @default.
- W1583424124 hasConceptScore W1583424124C121332964 @default.
- W1583424124 hasConceptScore W1583424124C149782125 @default.
- W1583424124 hasConceptScore W1583424124C154945302 @default.
- W1583424124 hasConceptScore W1583424124C158693339 @default.
- W1583424124 hasConceptScore W1583424124C162324750 @default.
- W1583424124 hasConceptScore W1583424124C182306322 @default.
- W1583424124 hasConceptScore W1583424124C185429906 @default.
- W1583424124 hasConceptScore W1583424124C2992108970 @default.
- W1583424124 hasConceptScore W1583424124C33923547 @default.
- W1583424124 hasConceptScore W1583424124C34727166 @default.
- W1583424124 hasConceptScore W1583424124C39658296 @default.
- W1583424124 hasConceptScore W1583424124C41008148 @default.
- W1583424124 hasConceptScore W1583424124C51926234 @default.
- W1583424124 hasConceptScore W1583424124C62520636 @default.
- W1583424124 hasConceptScore W1583424124C99498987 @default.
- W1583424124 hasLocation W15834241241 @default.
- W1583424124 hasOpenAccess W1583424124 @default.
- W1583424124 hasPrimaryLocation W15834241241 @default.
- W1583424124 hasRelatedWork W1494969054 @default.
- W1583424124 hasRelatedWork W1500848827 @default.
- W1583424124 hasRelatedWork W1525735003 @default.
- W1583424124 hasRelatedWork W1550523836 @default.
- W1583424124 hasRelatedWork W1571756243 @default.
- W1583424124 hasRelatedWork W2087773313 @default.
- W1583424124 hasRelatedWork W2091458969 @default.
- W1583424124 hasRelatedWork W2126566747 @default.
- W1583424124 hasRelatedWork W2127782664 @default.
- W1583424124 hasRelatedWork W2189699905 @default.
- W1583424124 hasRelatedWork W2299254870 @default.
- W1583424124 hasRelatedWork W2360545199 @default.
- W1583424124 hasRelatedWork W2377066107 @default.
- W1583424124 hasRelatedWork W2408070525 @default.
- W1583424124 hasRelatedWork W2470845617 @default.
- W1583424124 hasRelatedWork W2481030326 @default.
- W1583424124 hasRelatedWork W2790822776 @default.
- W1583424124 hasRelatedWork W3122752921 @default.
- W1583424124 hasRelatedWork W3123001077 @default.
- W1583424124 hasRelatedWork W3164426761 @default.
- W1583424124 isParatext "false" @default.
- W1583424124 isRetracted "false" @default.
- W1583424124 magId "1583424124" @default.
- W1583424124 workType "article" @default.