Brooks, Robert; Harris, Edwyna; Joymungul, Yovina - In: Applied Economics Letters 16 (2009) 13, pp. 1361-1364
In the context of highly liquid markets and intra-day data, Engle and Lange (2001) successfully develop a measure of market depth they call VNET. This article explores the applicability of a modified version of this measure in the case of the weekly market for seasonal water in rural Victoria....
