New moment estimators of the effective spread based on daily high and low prices

DOI10.1007/S11424-019-7364-4zbMATH Open1429.91304OpenAlexW3123705388WikidataQ126589147 ScholiaQ126589147MaRDI QIDQ2287378FDOQ2287378

Authors: Yang Gao, Mingjin Wang, Yaojun Wang 

Publication date: 20 January 2020

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-019-7364-4

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zbMATH Keywords

volatilityasymptotic propertybid-ask spreadliquidityprice range

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• The Asymptotic Distribution of the Range of Sums of Independent Random Variables
• Continuous Auctions and Insider Trading
• What are the best liquidity proxies for global research?

Cited In (2)

• An application of the method of moments to range-based volatility estimation using daily high, low, opening, and closing (HLOC) prices
• INCORPORATING PRICE-RELEVANT INFORMATION BETWEEN QUOTES AND TRADES: A NEW MEASURE OF THE EFFECTIVE BID-ASK SPREAD

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