TESTING THE MARKOV PROPERTY WITH ULTRA HIGH FREQUENCY FINANCIAL DATA.pdfVIP

TESTING THE MARKOV PROPERTY WITH ULTRA HIGH FREQUENCY FINANCIAL DATA? Joa?o Amaro de Matos Marcelo Fernandes Faculdade de Economia Graduate School of Economics Universidade Nova de Lisboa Fundac?a?o Getulio Vargas Rua Marque?s de Fronteira, 20 Praia de Botafogo, 190 1099-038 Lisbon, Portugal 22953-900 Rio de Janeiro, Brazil Tel: +351.21.3826100 Tel: +55.21.5595827 Fax: +351.21.3873973 Fax: +55.21.5538821 amatos@fe.unl.pt mfernand@fgv.br March 2001 ? The second author gratefully acknowledges the hospitality of the Univer- sidade Nova de Lisboa, where part of this paper was written, and a Jean M