{"id":"https://openalex.org/W7160018566","doi":"https://doi.org/10.1111/obes.70076","title":"Confidence Intervals for Price Discovery","display_name":"Confidence Intervals for Price Discovery","publication_year":2026,"publication_date":"2026-04-30","ids":{"openalex":"https://openalex.org/W7160018566","doi":"https://doi.org/10.1111/obes.70076"},"language":"en","primary_location":{"id":"doi:10.1111/obes.70076","doi":"https://doi.org/10.1111/obes.70076","is_oa":true,"landing_page_url":"https://doi.org/10.1111/obes.70076","pdf_url":"https://onlinelibrary.wiley.com/doi/pdfdirect/10.1111/obes.70076","source":{"id":"https://openalex.org/S92565720","display_name":"Oxford Bulletin of Economics and Statistics","issn_l":"0305-9049","issn":["0305-9049","1468-0084"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-c","jufo-2","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Oxford Bulletin of Economics and Statistics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://onlinelibrary.wiley.com/doi/pdfdirect/10.1111/obes.70076","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5081432429","display_name":"Heino Bohn Nielsen","orcid":"https://orcid.org/0000-0001-8516-161X","observed_orcids":["https://orcid.org/0000-0001-8516-161X"]},"institutions":[{"id":"https://openalex.org/I124055696","display_name":"University of Copenhagen","ror":"https://ror.org/035b05819","country_code":"DK","type":"education","lineage":["https://openalex.org/I124055696"]}],"countries":["DK"],"is_corresponding":false,"raw_author_name":"Heino Bohn Nielsen","raw_affiliation_strings":["Department of Economics University of Copenhagen  Copenhagen Denmark"],"raw_orcid":"https://orcid.org/0000-0001-8516-161X","affiliations":[{"raw_affiliation_string":"Department of Economics University of Copenhagen  Copenhagen Denmark","institution_ids":["https://openalex.org/I124055696"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5014558527","display_name":"Paolo Paruolo","orcid":"https://orcid.org/0000-0002-3982-4889","observed_orcids":["https://orcid.org/0000-0002-3982-4889"]},"institutions":[{"id":"https://openalex.org/I2800387288","display_name":"European Commission","ror":"https://ror.org/00k4n6c32","country_code":"BE","type":"government","lineage":["https://openalex.org/I1320481043","https://openalex.org/I2800387288"]},{"id":"https://openalex.org/I4210118689","display_name":"Joint Research Centre","ror":"https://ror.org/02qezmz13","country_code":"IT","type":"government","lineage":["https://openalex.org/I1320481043","https://openalex.org/I2800387288","https://openalex.org/I4210118689","https://openalex.org/I4210161702"]}],"countries":["BE","IT"],"is_corresponding":true,"raw_author_name":"Paolo Paruolo","raw_affiliation_strings":["European Commission, Joint Research Centre (JRC)  Ispra Italy"],"raw_orcid":"https://orcid.org/0000-0002-3982-4889","affiliations":[{"raw_affiliation_string":"European Commission, Joint Research Centre (JRC)  Ispra Italy","institution_ids":["https://openalex.org/I2800387288","https://openalex.org/I4210118689"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5079539440","display_name":"Anders Rahbek","orcid":"https://orcid.org/0000-0002-2549-1913","observed_orcids":["https://orcid.org/0000-0002-2549-1913"]},"institutions":[{"id":"https://openalex.org/I124055696","display_name":"University of Copenhagen","ror":"https://ror.org/035b05819","country_code":"DK","type":"education","lineage":["https://openalex.org/I124055696"]}],"countries":["DK"],"is_corresponding":false,"raw_author_name":"Anders Rahbek","raw_affiliation_strings":["Department of Economics University of Copenhagen  Copenhagen Denmark"],"raw_orcid":"https://orcid.org/0000-0002-2549-1913","affiliations":[{"raw_affiliation_string":"Department of Economics University of Copenhagen  Copenhagen Denmark","institution_ids":["https://openalex.org/I124055696"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5014558527"],"corresponding_institution_ids":["https://openalex.org/I2800387288","https://openalex.org/I4210118689"],"apc_list":{"value":3840,"currency":"USD","value_usd":3840},"apc_paid":{"value":3840,"currency":"USD","value_usd":3840},"fwci":6.9814,"has_fulltext":true,"cited_by_count":1,"citation_normalized_percentile":{"value":0.95600617,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":93,"max":96},"biblio":{"volume":"88","issue":"4","first_page":"742","last_page":"764"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.444599986076355,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.444599986076355,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.3928000032901764,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.09269999712705612,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/price-discovery","display_name":"price discovery","score":0.9919999837875366},{"id":"https://openalex.org/keywords/permanent-transitory-decomposition","display_name":"permanent-transitory decomposition","score":0.9160000085830688},{"id":"https://openalex.org/keywords/cointegrated-vector-autoregressive-model","display_name":"cointegrated vector autoregressive model","score":0.8769999742507935},{"id":"https://openalex.org/keywords/i-1-processes","display_name":"I(1) processes","score":0.7590000033378601},{"id":"https://openalex.org/keywords/bootstrap-confidence-intervals","display_name":"bootstrap confidence intervals","score":0.902999997138977},{"id":"https://openalex.org/keywords/asymptotic-confidence-intervals","display_name":"asymptotic confidence intervals","score":0.9380000233650208},{"id":"https://openalex.org/keywords/linear-restrictions","display_name":"linear restrictions","score":0.5419999957084656},{"id":"https://openalex.org/keywords/information-sharing","display_name":"information sharing","score":0.7400000095367432},{"id":"https://openalex.org/keywords/market-efficiency","display_name":"market efficiency","score":0.47999998927116394}],"concepts":[{"id":"https://openalex.org/C159877910","wikidata":"https://www.wikidata.org/wiki/Q2202883","display_name":"Autoregressive model","level":2,"score":0.7243000268936157},{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.705299973487854},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6297000050544739},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5647000074386597},{"id":"https://openalex.org/C44249647","wikidata":"https://www.wikidata.org/wiki/Q208498","display_name":"Confidence interval","level":2,"score":0.5429999828338623},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.5105999708175659},{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.48100000619888306},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.4779999852180481},{"id":"https://openalex.org/C168167062","wikidata":"https://www.wikidata.org/wiki/Q1117970","display_name":"Component (thermodynamics)","level":2,"score":0.4472000002861023},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.41749998927116394},{"id":"https://openalex.org/C119047807","wikidata":"https://www.wikidata.org/wiki/Q752718","display_name":"Asymptotic analysis","level":2,"score":0.4165000021457672},{"id":"https://openalex.org/C70710897","wikidata":"https://www.wikidata.org/wiki/Q680081","display_name":"Separable space","level":2,"score":0.3644999861717224},{"id":"https://openalex.org/C192209626","wikidata":"https://www.wikidata.org/wiki/Q190909","display_name":"Focus (optics)","level":2,"score":0.3506999909877777},{"id":"https://openalex.org/C17648541","wikidata":"https://www.wikidata.org/wiki/Q2265984","display_name":"Efficiency","level":3,"score":0.3262999951839447},{"id":"https://openalex.org/C133029050","wikidata":"https://www.wikidata.org/wiki/Q385593","display_name":"Vector autoregression","level":2,"score":0.3212999999523163},{"id":"https://openalex.org/C2778067643","wikidata":"https://www.wikidata.org/wiki/Q166507","display_name":"Interval (graph theory)","level":2,"score":0.31619998812675476},{"id":"https://openalex.org/C65778772","wikidata":"https://www.wikidata.org/wiki/Q12345341","display_name":"Asymptotic distribution","level":3,"score":0.30799999833106995},{"id":"https://openalex.org/C166785042","wikidata":"https://www.wikidata.org/wiki/Q190391","display_name":"Central limit theorem","level":2,"score":0.25690001249313354}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1111/obes.70076","doi":"https://doi.org/10.1111/obes.70076","is_oa":true,"landing_page_url":"https://doi.org/10.1111/obes.70076","pdf_url":"https://onlinelibrary.wiley.com/doi/pdfdirect/10.1111/obes.70076","source":{"id":"https://openalex.org/S92565720","display_name":"Oxford Bulletin of Economics and Statistics","issn_l":"0305-9049","issn":["0305-9049","1468-0084"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-c","jufo-2","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Oxford Bulletin of Economics and Statistics","raw_type":"journal-article"}],"best_oa_location":{"id":"doi:10.1111/obes.70076","doi":"https://doi.org/10.1111/obes.70076","is_oa":true,"landing_page_url":"https://doi.org/10.1111/obes.70076","pdf_url":"https://onlinelibrary.wiley.com/doi/pdfdirect/10.1111/obes.70076","source":{"id":"https://openalex.org/S92565720","display_name":"Oxford Bulletin of Economics and Statistics","issn_l":"0305-9049","issn":["0305-9049","1468-0084"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-c","jufo-2","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Oxford Bulletin of Economics and Statistics","raw_type":"journal-article"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W7160018566.pdf","grobid_xml":"https://content.openalex.org/works/W7160018566.grobid-xml"},"referenced_works_count":37,"referenced_works":["https://openalex.org/W1912412005","https://openalex.org/W1967952347","https://openalex.org/W1974707445","https://openalex.org/W2014312666","https://openalex.org/W2016087196","https://openalex.org/W2019975447","https://openalex.org/W2034707435","https://openalex.org/W2042417957","https://openalex.org/W2050750536","https://openalex.org/W2052587901","https://openalex.org/W2063986268","https://openalex.org/W2065630570","https://openalex.org/W2069298360","https://openalex.org/W2072472224","https://openalex.org/W2076999042","https://openalex.org/W2079054072","https://openalex.org/W2082211306","https://openalex.org/W2086471677","https://openalex.org/W2100361780","https://openalex.org/W2106810883","https://openalex.org/W2110603299","https://openalex.org/W2142645658","https://openalex.org/W2142844166","https://openalex.org/W2153900362","https://openalex.org/W2154865683","https://openalex.org/W2164736271","https://openalex.org/W2598667595","https://openalex.org/W2724868721","https://openalex.org/W2946265133","https://openalex.org/W2947626232","https://openalex.org/W2975982770","https://openalex.org/W2991310026","https://openalex.org/W3122281927","https://openalex.org/W3123633678","https://openalex.org/W3125244195","https://openalex.org/W4388113801","https://openalex.org/W4416953680"],"related_works":[],"abstract_inverted_index":{"ABSTRACT":[0],"This":[1],"paper":[2],"discusses":[3],"asymptotic":[4],"and":[5,45,63,72,92],"bootstrap":[6],"confidence":[7],"intervals":[8],"for":[9,70],"multivariate":[10],"permanent\u2010transitory":[11],"decompositions":[12],"of":[13,27,35,85],"cointegrated":[14],"vector":[15],"autoregressive":[16],"I(1)":[17],"systems,":[18],"with":[19],"a":[20],"focus":[21],"on":[22,42,53],"price":[23,78],"discovery.":[24],"Alternative":[25],"estimators":[26],"the":[28,43,50,82,96],"permanent":[29],"components":[30],"are":[31,61,67],"compared":[32],"in":[33,77],"terms":[34],"efficiency":[36],"also":[37,68],"under":[38],"separable":[39],"linear":[40],"restrictions":[41],"parameters,":[44],"it":[46],"is":[47,56],"found":[48],"that":[49],"one":[51],"based":[52],"model":[54],"residuals":[55],"most":[57],"efficient.":[58],"Bootstrap":[59],"implementations":[60],"discussed":[62],"compared.":[64],"Asymptotic":[65],"results":[66],"derived":[69],"information":[71],"component":[73],"shares":[74],"widely":[75],"used":[76],"discovery":[79],"to":[80],"measure":[81],"relative":[83],"importance":[84],"different":[86],"markets.":[87],"A":[88],"Monte":[89],"Carlo":[90],"study":[91],"an":[93],"application":[94],"illustrate":[95],"findings.":[97]},"counts_by_year":[{"year":2026,"cited_by_count":1}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2026-05-05T00:00:00"}
