Jong, Frank De; Schotman, Peter C. - In: Journal of Financial Econometrics 8 (2010) 1, pp. 1-28
This paper proposes a structural time-series model for the intraday price dynamics on fragmented financial markets. We generalize the structural model of Hasbrouck (1993) to a multivariate setting. We discuss identification issues and propose a new measure for the contribution of each market to...