Wongsaart, Pipat; Gao, Jiti - Department of Econometrics and Business Statistics, … - 2011
a better parametric ACD model, but also to the specification testing of a number of financial market microstructure … hypotheses, especially those related to the information asymmetry in finance. The testing procedure introduced in this paper … Fernandes and Grammig (2005). We show theoretically and experimentally the statistical validity of our testing procedure, while …