Measuring the effectiveness of volatility call auctions
We propose a method based on synthetic portfolios for event studies and apply it in the context of market microstructure. The method provides a robust data driven approach to build a credible counterfactual. The method is used to evaluate the effectiveness of a volatility call auction using intra da...
| Autores Principales: | , , |
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| Otros Autores: | |
| Formato: | Documento de trabajo (Working Paper) |
| Lenguaje: | Español (Spanish) |
| Publicado: |
Universidad del Rosario
2017
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| Materias: | |
| Acceso en línea: | http://repository.urosario.edu.co//handle/10336/13211 |