Impacts of trades in an error-correction model of quote prices
Engle, R. F. & Patton, A. J.
(2004).
Impacts of trades in an error-correction model of quote prices.
Journal of Financial Markets,
7(1), 1-25.
https://doi.org/10.1016/S1386-4181(03)00018-1
| Item Type | Article |
|---|---|
| Copyright holders | © 2003 Elsevier Science |
| Departments | LSE |
| DOI | 10.1016/S1386-4181(03)00018-1 |
| Date Deposited | 25 Sep 2008 |
| URI | https://researchonline.lse.ac.uk/id/eprint/16611 |
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