EXcess Idle Time

Bandi, FM; Pirino, D; Reno, R

Bandi, FM (reprint author), Johns Hopkins Univ, Carey Business Sch, Baltimore, MD 21218 USA.; Bandi, FM (reprint author), Edhec Risk Inst, Singapore, Singapore.

ECONOMETRICA, 2017; 85 (6): 1793

Abstract

We introduce a novel economic indicator, named excess idle time (EXIT), measuring the extent of sluggishness in financial prices. Under a null and an ......

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