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

DOI10.1007/S11424-019-7364-4MaRDI QIDQ2287378zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

asymptotic propertybid-ask spreadliquidityprice rangevolatility

Mathematics Subject Classification ID

Financial markets (91G15)

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Cites work

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

Cited in

(5)

• Semiparametric estimation of the bid-ask spread in extended roll models
• Asymptotic comparison of three spread estimators based on Roll's model
• 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
• A closed-form quasi-maximum likelihood estimator of bid-ask spread

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