Testing The Markov Property with Ultra High Frequency Financial Data

João Amaro de Matos () and Marcelo Fernandes ()

No 414, Economics Working Papers (Ensaios Economicos da EPGE) from Graduate School of Economics, Getulio Vargas Foundation (Brazil)

Date: 2001-03-01
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Working Paper: Testing the Markov property with ultra-high frequency financial data (2004)
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