TY  - BOOK
AU  - Aït-Sahalia, Yacine 
AU  - Jacod, Jean 
TI  - High- Frequency financial econometrics
SN  - 9780691161433
PY  - 2014///
CY  - Princeton and Oxford
PB  - Princeton university press
KW  - Econometrics
KW  - Market Microstructure
KW  - Finance
N2  - In this paper, we propose a new econometric approach to jointly model the time series dynamics of the trading process and the revisions of ask and bid prices. We use this model to test the validity of certain symmetry assumptions very common among microstructure models. Namely, we test whether ask and bid quotes respond symmetrically to trade-related shocks, and whether buyer-initiated trades and seller-initiated trades are equally informative. In essence, the procedure we propose generalizes Hasbrouck’s (1991) vector autoregressive model for signed trades and changes in the quote midpoint by relaxing the implicit symmetry assumptions in his model
ER  -