Asymmetries in Bid-Ask Responses to Innovations in the Trading Process
AbstractThis paper has benefited from the support of the Spanish DGICYT project #PB98-0030 and the European Project on VPM-Improving Human Research Potential, HPRN-CT-2002-00232. The authors are grateful for the comments received from an anonymous referee and from Mikel Tapia, Ignacio Peña, Winfried Pohlmeier and the attendants to the Econometrics Research Seminar at C.O.R.E., Université Catholique de Louvain, Belgium. We also appreciate the suggestions of participants at the CAF Market Microstructure and High Frequency Data in Finance Workshop, August 2001, Sønderborg (Denmark), and the European Financial Association Meeting, August 2001, Barcelona (Spain)
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Bibliographic InfoPaper provided by Universidad Carlos III de Madrid in its series Open Access publications from Universidad Carlos III de Madrid with number info:hdl:10016/2580.
Length: 948 p.
Date of creation: 2006
Date of revision:
Publication status: Published in Empirical Economics (2006) v.30, p.913-946
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Web page: http://www.uc3m.es
Market microstructure; Bid and ask time series; VEC models; Adverse-selection costs; Asymmetric dynamics;
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- G1 - Financial Economics - - General Financial Markets
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- Engle, Robert F & Patton, Andrew J, 2000.
"Impacts of Trades in an Error-Correction Model of Quote Prices,"
University of California at San Diego, Economics Working Paper Series
qt6dm6093f, Department of Economics, UC San Diego.
- Engle, Robert F. & Patton, Andrew J., 2004. "Impacts of trades in an error-correction model of quote prices," Journal of Financial Markets, Elsevier, vol. 7(1), pages 1-25, January.
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