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dc.contributor.authorAndersson, Jonas
dc.contributor.authorMoberg, Jan-Magnus
dc.date.accessioned2008-01-14T11:50:54Z
dc.date.available2008-01-14T11:50:54Z
dc.date.issued2007
dc.identifier.issn1500-4066
dc.identifier.urihttp://hdl.handle.net/11250/163909
dc.description.abstractIn this paper some methods to determine the reporting delays for trades on the New York stock exchange are proposed and compared. The most successful method is based on a simple model of the quote revision process and a bootstrap procedure. In contrast to previous methods it accounts for autocorrelation and for variation originating both from the quote process itself and from estimation errors. This is obtained by the use of prediction intervals. The ability of the methods to determine when a trade has occurred is studied and compared with a previous method by Vergote (2005). This is done by means of a simulation study. An extensive empirical study shows the applicability of the method and that more reasonable results are obtained when accounting for autocorrelation and estimation uncertainty.en
dc.language.isoengen
dc.publisherNorwegian School of Economics and Business Administration. Department of Finance and Management Scienceen
dc.relation.ispartofseriesDiscussion paperen
dc.relation.ispartofseries2007:28en
dc.titleStructural breaks in point processes: with an application to reporting delays for trades on the New York stock exchangeen
dc.typeWorking paperen
dc.subject.nsiVDP::Samfunnsvitenskap: 200::Økonomi: 210::Bedriftsøkonomi: 213en


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