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~institution:"Faculdade de Economia, Universidade Nova de Lisboa"
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Search: subject:"bid-ask spread"
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Bid-ask spread
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Markov property
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dynamic equilibrium
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intermediary
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nonparametric testing
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price durations
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ultra-high frequency data
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Matos, Joao Amaro de
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Fernandes, Marcelo
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Rosario, Joao Sobral do
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Faculdade de Economia, Universidade Nova de Lisboa
National Bureau of Economic Research
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Testing the Markov property with ultra-high frequency financial data
Matos, Joao Amaro de
;
Fernandes, Marcelo
-
Faculdade de Economia, Universidade Nova de Lisboa
-
2004
asymmetric information models of market microstructures predict that the Markov property does not hold for the
bid-ask
spread
…
Persistent link: https://www.econbiz.de/10005176470
Saved in:
2
The Equilibrium Dynamics for an Endogeneous
Bid-Ask
Spread
in a Monopolistic financial Market
Matos, Joao Amaro de
;
Rosario, Joao Sobral do
-
Faculdade de Economia, Universidade Nova de Lisboa
-
2000
This paper presents an endogeneous model for the stochastic dynamics of the
bid-ask
spread
of prices of nancial assets …
Persistent link: https://www.econbiz.de/10005176500
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