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

Robert Engle and Andrew Patton

Journal of Financial Markets, 2004, vol. 7, issue 1, 1-25

Date: 2004
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Working Paper: Impacts of Trades in an Error-Correction Model of Quote Prices (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:7:y:2004:i:1:p:1-25

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