This paper provides statistical learning techniques for determining the full own-price market impact and the relevance and effect of cross-price and cross-asset spillover channels from intraday transactions data. The novel tools allow extracting comprehensive information contained in the limit...

This comment revisits the analysis in Christensen and Timmins (2022). We identify two critical errors used in the original analysis, one with the data and the other with coding. When either error is corrected several major results in the paper change, either in statistical significance or in...

The CRIX (CRyptocurrency IndeX) has been constructed based on approximately 30 cryptos and captures high coverage of available market capitalisation. The CRIX index family covers a range of cryptos based on di erent liquidity rules and various model selection criteria. Details of ECRIX (Exact...

Inflation expectation is acknowledged to be an important indicator for policy makers and financial investors. To capture a more accurate real-time estimate of inflation expectation on the basis of financial markets, we propose an arbitrage-free model across different countries in a...

We thank the authors of this report for their careful re-analysis of our paper, "Sorting or Steering: The Effects of Housing Discrimination on Neighborhood Choice" and the Institute for Replication for supporting this work. In the process of replicating the re- sults published in Christensen and...