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Common factor components versus information shares: a reply
2002
Journal of financial markets
Common factor components and information shares provide competing approaches to estimating the parameters of price discovery in cointegrated security markets or trading channels. Using simulated data on Hasbrouck's (J. Financial Markets 5 (3) (2002) ) parameterized model of the stylized facts in satellite and centralized markets, we show that Gonzalo and Granger's (J. Business Econom. Statist. 13 (1995) 1) procedure for estimating and testing common factor components recovers the true
doi:10.1016/s1386-4181(02)00030-7
fatcat:cxiiv7gni5egndmh5khg3nuax4