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

volatilityasymptotic propertybid-ask spreadliquidityprice range

Mathematics Subject Classification ID

Financial markets (91G15)

Recommendations

• Semiparametric estimation 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
• Semiparametric identification of the bid-ask spread in extended Roll models
• An analysis of intraday patterns in bid-ask spreads: evidence from the Shenzhen stock exchange
• Estimating spot volatility with high-frequency financial data

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

(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

This page was built for publication: New moment estimators of the effective spread based on daily high and low prices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2287378)