Testing the Markov property with ultra-high frequency financial data
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- Matos, João Manuel Gonçalves Amaro de & Fernandes, Marcelo, 2001. "Testing the Markov property with ultra high frequency financial data," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 414, FGV EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
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More about this item
KeywordsBid-ask spread; nonparametric testing; price durations; Markov property; ultra-high frequency data;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G19 - Financial Economics - - General Financial Markets - - - Other
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-12-20 (All new papers)
- NEP-CFN-2005-12-20 (Corporate Finance)
- NEP-ECM-2005-12-20 (Econometrics)
- NEP-ETS-2005-12-20 (Econometric Time Series)
- NEP-FIN-2005-12-20 (Finance)
- NEP-FMK-2005-12-20 (Financial Markets)
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