A closed-form quasi-maximum likelihood estimator of bid-ask spread

DOI10.1080/03610918.2019.1662042OpenAlexW2974104629MaRDI QIDQ5082874FDOQ5082874

Authors: Die Wan, Wei Chen, Weiyi Liu 

Publication date: 21 June 2022

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2019.1662042

Recommendations

• 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 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

zbMATH Keywords

quasi-maximum likelihood estimationbid-ask spreadhigh-low rangeovernight adjustment

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Mathematical Statistics
• Estimating variance from high, low and closing prices
• Realized range-based estimation of integrated variance
• Elements of financial risk management.
• What are the best liquidity proxies for global research?
• Volatility estimation and jump testing via realized information variation

Cited In (2)

• Bid-Ask Spread Modelling, a Perturbation Approach
• Semiparametric identification of the bid-ask spread in extended Roll models

This page was built for publication: A closed-form quasi-maximum likelihood estimator of bid-ask spread

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5082874)