Documents 1 Robert Engle and Asger Lunde NYU and UCSD and University of Aarhus May 2001.

Robert Engle and Asger Lunde NYU and UCSD and University of Aarhus May 2001 MICROSTRUCTURE ECONOMETRICS FOCUSES MAINLY ON TRANSACTION TIMES.   WE ALSO SEE QUOTE REVISION…

Documents Robert Engle and Asger Lunde NYU and UCSD and University of Aarhus May 2001

Robert Engle and Asger Lunde NYU and UCSD and University of Aarhus May 2001 MICROSTRUCTURE ECONOMETRICS FOCUSES MAINLY ON TRANSACTION TIMES.   WE ALSO SEE QUOTE REVISION…