This paper examines market-specific contributions to price discovery in sequential markets, where changes in the efficient price are embedded in the sequential price changes across markets defined by time zones. We propose a structural VAR model to identify market-specific shocks to the...

The weighted price contribution (WPC) is a popular measure for price discovery. This paper examines the theoretical properties and empirical performance of the WPC. The benchmark measure for the WPC is the information share (IS) based on the variation of the efficient price. We derive the...

A factor structure for VAR model error terms is adopted to examine the dynamic relationships of major macroeconomic time series. The structure, which is testable, is used to trace the consequences of a contemporaneously “ceteris paribus” (or idiosyncratic) change in each variable in the VAR...

Detecting contagion during financial crises requires the demarcation of crisis periods. We develop a method for endogenously dating both the start and finish of crises, along with measuring contagion effects. Identification is achieved by coupling smooth transition functions with structural...

From a frequentist perspective, we examine the large sample properties of Bayes procedures in a general framework, where data may be dependent and models may be misspecified and non-smooth. The posterior distribution of parameters is shown to be asymptotically normal, centered at the quasi...

This paper shows that both commodity price and carry trade have significant impact on the volatility and liquidity of Asian currencies, particularly on actively traded currencies. The impact of carry trade is generally larger than that of commodity price