Grammig, Joachim G.; Peter, Franziska J. - 2008
Microstructure Noise, Price Discovery.
1 University of Tuebingen, Faculty of Economics, E-Mail: joachim ….grammig@uni-tuebingen.de
2 University of Tuebingen, Faculty of Economics, E-Mail: franziska-julia.peter@uni-tuebingen.de
1 Introduction …. Granger (1995): “Estimation of common long-memory
components in co-integrated systems,”Journal of Business and Economic …