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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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Identification Number: 10.1016/S1386-4181(03)00018-1
Item Type: Article
Official URL: http://www.elsevier.com/wps/find/journaldescriptio...
Additional Information: © 2003 Elsevier Science
Subjects: H Social Sciences > HG Finance
Sets: Departments > Accounting and Finance
Date Deposited: 25 Sep 2008 15:21
Last Modified: 01 Oct 2010 09:08
URI: http://eprints.lse.ac.uk/id/eprint/16611

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