A structural error-correction model of best prices and depths in the foreign exchange limit order market
By: by Ingrid Lo and Stephen G. Sapp.
Contributors: Bank of Canada.
Series: Bank of Canada working paper -- 2006-8; Working paper (Bank of Canada) -- 2006-8.
Publisher: Bank of Canada
Published: 2006
Place of publication: Ottawa
Language: eng
Number of pages: 22
Subjects: Foreign exchange rates -- Econometric models.; Stocks -- Econometric models.
Notes: Distributed by the Government of Canada Depository Services Program.

Available also on the Internet.

Includes abstract in French.