On Some Sample Path Properties of Intra-Day Futures Prices
- 1 August 1990
- journal article
- Published by JSTOR in The Review of Economics and Statistics
- Vol. 72 (3) , 529
- https://doi.org/10.2307/2109364
Abstract
This paper develops a time-series model for continuous time asset prices and then uses tick-by-tick data from Treasury bill futures to develop both a definition...Keywords
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