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The Nature of Power Spikes: A Regime-Switch Approach

โœ Scribed by De Jong, Cyriel

Book ID
121366954
Publisher
The Berkeley Electronic Press,Walter de Gruyter GmbH & Co. KG
Year
2006
Tongue
English
Weight
645 KB
Volume
10
Category
Article
ISSN
1081-1826

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## Abstract This paper presents an empirical model for inferring the private information content of trades at the transaction level. The tradeโ€indicator model of Glosten and Harris (1988) is extended to a twoโ€state regimeโ€switching setting, and the model is estimated using tickโ€byโ€tick data from th