Testing the Markov property with ultra-high frequency financial data
Year of publication: |
2004
|
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Authors: | Matos, Joao Amaro de ; Fernandes, Marcelo |
Institutions: | Faculdade de Economia, Universidade Nova de Lisboa |
Subject: | Bid-ask spread | nonparametric testing | price durations | Markov property | ultra-high frequency data |
Series: | |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | 25 pages |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C52 - Model Evaluation and Testing ; G10 - General Financial Markets. General ; G19 - General Financial Markets. Other |
Source: |
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