Identification through heteroskedasticity in heteroskedastic simultaneous equations models (HSEMs) is considered. The possibility that heteroskedasticity identifies the structural parameters only partially is explicitly allowed for. The asymptotic properties of the identified parameters are...

This study introduces a model that estimates the common and market-specific information flows when an asset is traded simultaneously in multiple markets. Cross-market return correlations are determined by a latent common information factor. The common and market-specific information flows are...