Modelling volatility and correlation for tick-by-tick return data using trading information and buy/sell signals /
Knight, John L.
Lin, Shinn-Juh.
Satchell, S.(Stephen).
Birkbeck College.Institute for Financial Research.
London : Birkbeck College, University of London,
1998.
Includes bibliographical references (p. 22-25)
Stocks
Stock exchanges
Stock exchanges