Title:

Testing the Markov Property with High Frequency Data

Authors:

João Amaro de Matos (U Nova)
Marcelo Fernandes (U London)

Journal:

Journal of Econometrics

Year:

2007

Volume:

141

Pages:

44-64

JEL codes:

C22 - Time-Series Models
G12 - Asset Pricing; Trading volume; Bond Interest Rates