One fundamental issue in the study of market microstructures is that of price discovery. While most existing studies focus on the trading period, little is known whether and how much the non-trading period contributes to the price discovery. This paper offers a new perspective on the price...

This paper introduces a new estimation for the dynamics of betas. It combines two previously separate approaches in the literature, data-driven filters and parametric methods. Namely, we show how to estimate the parametric beta dynamics by instrumental variables combined with block-sampling -...