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

Engle, Robert F. and Patton, Andrew J. (2004) Impacts of trades in an error-correction model of quote prices. Journal of Financial Markets, 7 (1). pp. 1-25. ISSN 1386-4181

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Item Type: Article
Official URL: http://www.elsevier.com/wps/find/journaldescriptio...
Additional Information: © 2003 Elsevier Science
Library of Congress subject classification: H Social Sciences > HG Finance
Sets: Departments > Accounting and Finance
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 25 Sep 2008 15:21
URL: http://eprints.lse.ac.uk/16611/

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