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Predicting VNET: A model of the dynamics of market depth

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Author Info
Engle, Robert F.
Lange, Joe

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File URL: http://www.sciencedirect.com/science/article/B6VHN-423RHMG-1/2/ca16c5660802e3a1a9b87fc1985f406a
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Article provided by Elsevier in its journal Journal of Financial Markets.

Volume (Year): 4 (2001)
Issue (Month): 2 (April)
Pages: 113-142
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Handle: RePEc:eee:finmar:v:4:y:2001:i:2:p:113-142

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  1. Francis X. Diebold, 2004. "The Nobel Memorial Prize for Robert F. Engle," PIER Working Paper Archive 04-010, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
    Other versions:
  2. Jeremy Large, 2005. "Estimating quadratic variation when quoted prices jump by a constant increment," OFRC Working Papers Series 2005fe05, Oxford Financial Research Centre. [Downloadable!]
    Other versions:
  3. Roberto Pascual & Alvaro Escribano & Mikel Tapia, 2004. "On the bi-dimensionality of liquidity," European Journal of Finance, Taylor and Francis Journals, vol. 10(6), pages 542-566, December. [Downloadable!] (restricted)
  4. Katarzyna Bien & Ingmar Nolte & Winfried Pohlmeier, 2006. "Estimating Liquidity Using Information on the Multivariate Trading Process," CoFE Discussion Paper 06-04, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
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  5. David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2002. "Time-Varying Arrival Rates of Informed and Uninformed Trades," Finance 0207017, EconWPA. [Downloadable!]
    Other versions:
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