Market depth in an illiquid market: applying the VNET concept to Victorian water markets

References

• Brennan , D. 2006 . Water policy reform in Australia: lessons from the Victorian seasonal water market . Australian Journal of Agricultural and Resource Economics , 50 : 403 – 23 .
   Web of Science ®Google Scholar
• Crase , L. , O'Reilly , L. and Dollery , B. 2000 . Water markets as a vehicle for water reform: the case of New South Wales . Australian Journal of Agricultural and Resource Economics , 44 : 299 – 321 .
   Web of Science ®Google Scholar
• Engle , R. and Lange , J. 2001 . Predicting VNET: a model of the dynamics of market depth . Journal of Financial Markets , 4 : 113 – 42 .
   Google Scholar
• Engle , R. and Russell , J. 1998 . Autoregressive conditional duration: a new model for irregularly spaced data . Econometrica , 66 : 1127 – 62 .
   Web of Science ®Google Scholar
• Peterson , D. , Dwyer , G. , Appels , G. and Fry , J. 2004 . “ Modelling Water Trade in the Southern Murray-Darling Basin ” . In Staff Working Paper , Canberra : Productivity Commission .
   Google Scholar
• Productivity Commission . 2006 . “ Research Report ” . Canberra : Productivity Commission .
   Google Scholar
• White , H. 1980 . A heteroskedasticity-consistent covariance-matrix estimator and a direct test for heteroskesticity . Econometrica , 48 : 817 – 38 .
   Web of Science ®Google Scholar