Effects of NYMEX trading on IPE Brent Crude futures markets: a duration analysis
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- Luc BAUWENS & Pierre GIOT, 2000.
"The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks,"
Annales d'Economie et de Statistique,
ENSAE, issue 60, pages 117-149.
- BAUWENS, Luc & GIOT, Pierre, . "The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks," CORE Discussion Papers RP -1497, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- 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.
- Joann Jasiak, 1996. "Persistence in Intertrade Durations," Working Papers 1999_8, York University, Department of Economics, revised Mar 1999.
- Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665 National Bureau of Economic Research, Inc.
- Lin, Sharon Xiaowen & Tamvakis, Michael N., 2001. "Spillover effects in energy futures markets," Energy Economics, Elsevier, vol. 23(1), pages 43-56, January.
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