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Impacts of trades in an error-correction model of quote prices

By Robert F. Engle and Andrew J. Patton
Topics: HG Finance
Publisher: Elsevier
Year: 2004
DOI identifier: 10.1016/S1386-4181(03)00018-1
OAI identifier: oai:eprints.lse.ac.uk:16611
Provided by: LSE Research Online
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