See discussions, stats, and author profiles for this publication at: https://www.researchgate.net/publication/4852735 The Econometrics of Financial Markets Article in Journal of Empirical Finance · February 1996 DOI: 10.1016/0927-5398(95)00020-8 · Source: RePEc CITATIONS 564 READS 1,959 1 author: Adrian Pagan University of Sydney 172 PUBLICATIONS 14,686 CITATIONS SEE PROFILE All content following this page was uploaded by Adrian Pagan on 09 February 2015. The user has requested enhancement of the downloaded file.