Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model
نویسندگان
چکیده
منابع مشابه
SIMPLE NONPARAMETRIC ESTIMATORS FOR THE BID-ASK SPREAD IN THE ROLL MODEL By
We propose new methods for estimating the bid-ask spread from observed transaction prices alone. Our methods are based on the empirical characteristic function instead of the sample autocovariance function like the method of Roll (1984). As in Roll (1984), we have a closed form expression for the spread, but this is only based on a limited amount of the model-implied identification restrictions...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2016
ISSN: 1556-5068
DOI: 10.2139/ssrn.2748858