Mathematical and Statistical Modelling of Cointegration
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References listed on IDEAS
- Glosten, Lawrence R. & Milgrom, Paul R., 1985.
"Bid, ask and transaction prices in a specialist market with heterogeneously informed traders,"
Journal of Financial Economics,
Elsevier, vol. 14(1), pages 71-100, March.
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More about this item
KeywordsECONOMETRICS ; STATISTICS ; MATHEMATICS;
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
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