Xu, Yongdeng - Economics Section, Cardiff Business School - 2013
volatility. The vector MEM relaxes the two restrictions often imposed by previous empirical work in market microstructure … multivariate lognormal distribution for the vector MEM. The model is applied to the trade and quote data from the New York Stock … Exchange (NYSE). The empirical results show that the vector MEM captures the dynamics of the trivariate system successfully. We …
