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Testing The Markov Property with Ultra High Frequency Financial Data

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Author Info
Matos, João Manuel Gonçalves Amaro de
Fernandes, Marcelo

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Paper provided by Graduate School of Economics, Getulio Vargas Foundation (Brazil) in its series Economics Working Papers (Ensaios Economicos da EPGE) with number 414.

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Date of creation: 01 Mar 2001
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Handle: RePEc:fgv:epgewp:414

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  1. Phillips, P.C.B., 1986. "Testing for a Unit Root in Time Series Regression," Cahiers de recherche 8633, Universite de Montreal, Departement de sciences economiques.
    Other versions:
  2. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May. [Downloadable!] (restricted)
    Other versions:
  3. Robinson, P M, 1991. "Consistent Nonparametric Entropy-Based Testing," Review of Economic Studies, Blackwell Publishing, vol. 58(3), pages 437-53, May. [Downloadable!] (restricted)
  4. Hasbrouck, Joel, 1991. " Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March. [Downloadable!] (restricted)
  5. Joel L. Horowitz, 2003. "Bootstrap Methods for Markov Processes," Econometrica, Econometric Society, vol. 71(4), pages 1049-1082, 07. [Downloadable!] (restricted)
  6. Fernandes, M. & Grammig, J., 2000. "Non-Parametric Specification Tests for Conditional Duration Models," Economics Working Papers eco2000/4, European University Institute.
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  7. Easley, David & O'Hara, Maureen, 1992. " Time and the Process of Security Price Adjustment," Journal of Finance, American Finance Association, vol. 47(2), pages 576-605, June.
  8. David Easley & Soeren Hvidkjaer & Maureen O'Hara, 2002. "Is Information Risk a Determinant of Asset Returns?," Journal of Finance, American Finance Association, vol. 57(5), pages 2185-2221, October. [Downloadable!] (restricted)
  9. Oliver Linton & Pedro Gozalo, 1996. "Conditional Independence Restrictions: Testing and Estimation," Cowles Foundation Discussion Papers 1140, Cowles Foundation, Yale University. [Downloadable!]
  10. Easley, David & Kiefer, Nicholas M & O'Hara, Maureen, 1997. "One Day in the Life of a Very Common Stock," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 10(3), pages 805-35.
  11. Matos, Joao Amaro de & Rosario, Joao Sobral do, 2000. "The Equilibrium Dynamics for an Endogeneous Bid-Ask Spread in a Monopolistic financial Market," FEUNL Working Paper Series wp389, Universidade Nova de Lisboa, Faculdade de Economia. [Downloadable!]
  12. GIOT, Pierre & ,, 1999. "Time transformations, intraday data and volatility models ," CORE Discussion Papers 1999044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
  13. E, Burgayran ; Serge Darolles, . "Nonparametric Estimation of a Diffusion Equation from Tick Observations," Working Papers 97-56, Centre de Recherche en Economie et Statistique. [Downloadable!]
  14. Yanqin Fan & Oliver Linton, 1997. "Some Higher Order Theory for a Consistent Nonparametric Model Specification Test," Cowles Foundation Discussion Papers 1148, Cowles Foundation, Yale University. [Downloadable!]
  15. Lawrence R. Glosten & Paul R. Milgrom, 1983. "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Discussion Papers 570, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
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  16. Easley, David & O'Hara, Maureen, 1987. "Price, trade size, and information in securities markets," Journal of Financial Economics, Elsevier, vol. 19(1), pages 69-90, September. [Downloadable!] (restricted)
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