Impacts of trades in an error-correction model of quote prices
| Year of publication: |
2004
|
|---|---|
| Authors: | Engle, Robert F. ; Patton, Andrew J. |
| Published in: |
Journal of Financial Markets. - Elsevier, ISSN 1386-4181. - Vol. 7.2004, 1, p. 1-25
|
| Publisher: |
Elsevier |