Impacts of trades in an error-correction model of quote prices

Engle, Robert F.; and Patton, Andrew J. (2004) Impacts of trades in an error-correction model of quote prices. Journal of Financial Markets, 7 (1). pp. 1-25. ISSN 1386-4181
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Item Type Article
Departments LSE
DOI 10.1016/S1386-4181(03)00018-1
Date Deposited 25 Sep 2008 15:21
URI https://researchonline.lse.ac.uk/id/eprint/16611

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