Measuring price discovery: The variance ratio, the R2, and the weighted price contribution

Bommel, Jos van

doi:10.1016/j.frl.2011.05.003

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Measuring price discovery: The variance ratio, the R2, and the weighted price contribution

Cited by 13 publications

References 39 publications

Price Discovery and Trading After Hours on the ECX

Price Discovery and Trading After Hours on the ECX

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