Estimation Procedure for "Price Formation in Call Auctions with Insider Information"

Tobias Brünner

No 21-01, LEAF Working Paper Series from University of Lincoln, Lincoln International Business School, Lincoln Economics and Finance Research Group (LEAF)

Abstract: This note provides the details of the estimation procedure in Brünner (2019). In Section 2 we derive the posterior distribution. Section 3 describes the MCMC algorithm used to obtain draws from the posterior distribution and in Section 4 we present the method for our model check. We conclude with a presentation of the estimation results.

Keywords: transaction cost; call market; asymmetric information; Bayesian econometrics; Monte Carlo Markov Chain algorithm (search for similar items in EconPapers)
JEL-codes: C11 D82 G14 (search for similar items in EconPapers)
Date: 2021
New Economics Papers: this item is included in nep-ore
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