Semiparametric estimation of the bid-ask spread in extended roll models

DOI10.1016/J.JECONOM.2018.09.010MaRDI QIDQ1739639zbMATH OpenOpenAlexFDO

Authors Xiaohong Chen, Stefan Schneeberger, Yanping Yi, Oliver Linton

Publication date 26 April 2019

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2018.09.010

zbMATH Keywords

bid-ask spreadempirical characteristic functionlatent variablesroll modelsemiparametric estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20)

Recommendations

• Semiparametric identification of the bid-ask spread in extended Roll models
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Cites work

• A survey of the theory of characteristic functions
• Efficient estimation of general dynamic models with a continuum of moment conditions
• scientific article; zbMATH DE number 2062406 (Why is no real title available?)
• Selected Topics in Characteristic Functions
• Semiparametric identification of the bid-ask spread in extended Roll models

Cited in

(11)

• Order flow and the bid-ask spread: an empirical probability model of screen-based trading
• On the computation of LOT liquidity measure
• Editorial for the special issue on financial engineering and risk management for JoE
• Asymptotic comparison of three spread estimators based on Roll's model
• New moment estimators of the effective spread based on daily high and low prices
• Semiparametric identification of the bid-ask spread in extended Roll models
• INCORPORATING PRICE-RELEVANT INFORMATION BETWEEN QUOTES AND TRADES: A NEW MEASURE OF THE EFFECTIVE BID-ASK SPREAD
• Spread component costs and stock trading characteristics in the Spanish stock exchange. Two flexible fractional response models
• Predicting bid-ask spreads using long-memory autoregressive conditional Poisson models
• A closed-form quasi-maximum likelihood estimator of bid-ask spread
• Bid-Ask Spread Modelling, a Perturbation Approach

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