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

DOI10.1080/03610918.2019.1662042MaRDI QIDQ5082874zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

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

Cited in

(2)

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

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