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Testing for Market Efficiency with Transactions Costs: An Application to Convergence Bidding in Wholesale Electricity Markets
Market Efficiency Transactions Cost
2015/7/31
With risk neutral traders and zero transactions costs, the expected value of the
di erence between the current forward price and the spot price of a commodity at the
delivery date of the forward con...
Testing for Structural Change in the Predictability of Asset Returns
Testing Structural Change Predictability Asset Returns
2015/5/13
Testing for Structural Change in the Predictability of Asset Returns.
Testing Savings Product Innovations Using an Experimental Methodology
Saving Financial Instruments Innovation and Invention
2015/5/13
This review presents an overview of the current research on clusters and cluster-based economic development. It is organized in three parts: First, it takes a look at the conceptual foundations of the...
Testing for jumps in noisy high frequency data
Semimartingale Testing for jumps High frequency data Market microstructure noise Pre-averaging
2014/3/13
This paper proposes a robustification of the test statistic of Aït-Sahalia and Jacod (2009b) for the presence of market microstructure noise in high frequency data, based on the pre-averaging met...