A closed-form quasi-maximum likelihood estimator of bid-ask spread-Reference-Cited by-同舟云学术

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

Published:2019-09-15 Issue: Volume: Page:1-14
ISSN:0361-0918
Container-title:Communications in Statistics - Simulation and Computation
language:en
Short-container-title:Communications in Statistics - Simulation and Computation

Author:

Liu Weiyi¹,Wan Die²,Chen Wei³

Affiliation:

1. School of Finance, Capital University of Economics and Business, Beijing, China;

2. School of Finance, Zhejiang Gongshang University, Hangzhou, China;

3. School of Management and Engineering, Capital University of Economics and Business, Beijing, China

Publisher

Informa UK Limited

Subject

Modelling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610918.2019.1662042

Reference28 articles.

1. Range-Based Estimation of Stochastic Volatility Models

2. Illiquidity and stock returns: cross-section and time-series effects

3. On the Estimation of Bid-Ask Spreads: Theory and Evidence

4. Asymptotic Theory of Range-Based Multipower Variation

5. Realized range-based estimation of integrated variance

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Measuring liquidity with return volatility: An analytical approach based on heavy-tailed Censored-GARCH model;The North American Journal of Economics and Finance;2022-11

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