Work

Impacts of Trades in an Error-Correction Model of Quote Prices

Year: 2001

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.256033

Authors: Andrew J. Patton, Robert F. Engle

Institutions: Duke University, National Bureau of Economic Research, New York University

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1603808342

Cites: 35

Cited by: 34

Related to: 10