Essec\Faculty\Model\Contribution {#2188
  #_index: "academ_contributions"
  #_id: "14479"
  #_source: array:26 [
    "id" => "14479"
    "slug" => "systematic-staleness"
    "yearMonth" => "2024-01"
    "year" => "2024"
    "title" => "Systematic Staleness"
    "description" => "BANDI, F.M., PIRINO, D. et RENO, R. (2024). Systematic Staleness. <i>Journal of Econometrics</i>, 288(1), pp. 105522."
    "authors" => array:3 [
      0 => array:3 [
        "name" => "RENO Roberto"
        "bid" => "B00798674"
        "slug" => "reno-roberto"
      ]
      1 => array:1 [
        "name" => "BANDI Federico M."
      ]
      2 => array:1 [
        "name" => "PIRINO Davide"
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:4 [
      0 => "Systematic staleness"
      1 => "Idiosyncratic staleness"
      2 => "Liquidity"
      3 => "Joint asymptotics"
    ]
    "updatedAt" => "2024-01-12 13:41:56"
    "publicationUrl" => "https://doi.org/10.1016/j.jeconom.2023.105522"
    "publicationInfo" => array:3 [
      "pages" => "105522"
      "volume" => "288"
      "number" => "1"
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "Asset prices are stale. We define a measure of systematic (market-wide) staleness as the percentage of small price adjustments across multiple assets. A notion of idiosyncratic (asset-specific) staleness is also established. For both systematic and idiosyncratic staleness, we provide a limit theory based on joint asymptotics relying on increasingly-frequent observations over a fixed time span and an increasing number of assets. Using systematic and idiosyncratic staleness as moment conditions, we introduce novel structural estimates of systematic and idiosyncratic measures of liquidity obtained from transaction prices only. The economic signal contained in the structural estimates is assessed by virtue of suitable metrics."
      "en" => "Asset prices are stale. We define a measure of systematic (market-wide) staleness as the percentage of small price adjustments across multiple assets. A notion of idiosyncratic (asset-specific) staleness is also established. For both systematic and idiosyncratic staleness, we provide a limit theory based on joint asymptotics relying on increasingly-frequent observations over a fixed time span and an increasing number of assets. Using systematic and idiosyncratic staleness as moment conditions, we introduce novel structural estimates of systematic and idiosyncratic measures of liquidity obtained from transaction prices only. The economic signal contained in the structural estimates is assessed by virtue of suitable metrics."
    ]
    "authors_fields" => array:2 [
      "fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
      "en" => "Information Systems, Decision Sciences and Statistics"
    ]
    "indexedAt" => "2024-04-27T13:21:46.000Z"
    "docTitle" => "Systematic Staleness"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/reno-roberto">RENO Roberto</a>, BANDI Federico M., PIRINO Davide"
    "docDescription" => "<span class="document-property-authors">RENO Roberto, BANDI Federico M., PIRINO Davide</span><br><span class="document-property-authors_fields">Information Systems, Decision Sciences and Statistics</span> | <span class="document-property-year">2024</span>"
    "keywordList" => "<a href="#">Systematic staleness</a>, <a href="#">Idiosyncratic staleness</a>, <a href="#">Liquidity</a>, <a href="#">Joint asymptotics</a>"
    "docPreview" => "<b>Systematic Staleness</b><br><span>2024-01 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="https://doi.org/10.1016/j.jeconom.2023.105522" target="_blank">Systematic Staleness</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.774375
  +"parent": null
}