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

Journal of Financial Markets

Volumn 7, Issue 1, 2004, Pages 1-25

  Engle, Robert F ^a   Patton, Andrew J ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Error correction; Market microstructure; Price dynamics; Vector autoregression

Indexed keywords

EID: 0041512939     PISSN: 13864181     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1386-4181(03)00018-1     Document Type: Article

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