Houghton Street
London, WC2A 2AE
United Kingdom
London School of Economics & Political Science (LSE)
information processing, volatility persistency, high-frequency data, price discovery, realized volatility, fractionally cointegrated vector autoregressive (FCVAR)
high-frequency data, price discovery, instrumental variables, weak instruments, realized measures
high-frequency data, price discovery, continuous-time model, sampling frequency, time-varying coefficients
time-varying coefficient models, kernel estimation, price discovery, high-frequency data
Private Benefits, Voting Right, Dual-Class Shares, Structural Cointegrated VAR Model
Price Discovery, High Frequency Data, Structural VECM, Exchange Rate
