This study addresses two questions: where does price discovery occur for internationally-traded firms and how do international stock prices adjust to an exchange rate shock? These questions are answered by analyzing quotes originating in New York and Frankfurt for three large German firms,...

This study addresses two questions: where does price discovery occur for internationally-traded firms and how do international stock prices adjust to an exchange rate shock ? These questions are answered by analyzing quotes originating in New York and Frankfurt for three large German firms,...

This study addresses two questions: where does price discovery occur for internationally-traded firms and ho do international stock prices adjust to an exchange rate shock ?These questions are answered by analyzing quotes originating in New York and Frankfurt for three large German firms,...

This paper develops a family of autoregressive conditional duration (ACD) models that encompasses most specifications in the literature. The nesting relies on a Box-Cox transformation with shape parameter to the conditional duration process and a possibly asymmetric shocks impact curve.