On the importance of timing specifications in market microstructure researchThomas Henker(UNSW Sydney), Jianxin Wang(UNSW Sydney)Journal of Financial MarketsMarch 1, 200610.1016/j.finmar.2006.01.001Cited by 73SaveCiteExport RISWatch citationsAbstractRelated PapersA Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance MatrixWhitney K. Newey, Kenneth D. West|Econometrica|1987|17kLarge Sample Properties of Generalized Method of Moments EstimatorsLars Peter Hansen|Econometrica|1982|13.8kHeteroskedasticity and Autocorrelation Consistent Covariance Matrix EstimationDonald W. K. Andrews|Econometrica|1991|4.1kInferring Trade Direction from Intraday DataCharles M.C. Lee, Mark J. Ready|The Journal of Finance|1991|3kInformation Effects on the Bid‐Ask SpreadThomas E. Copeland, Dan Galai|The Journal of Finance|1983|1.8k