Efficient estimation of bid–ask spreads from open, high, low, and close prices-Reference-Cited by-同舟云学术

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Efficient estimation of bid–ask spreads from open, high, low, and close prices

Published:2024-11 Issue: Volume:161 Page:103916
ISSN:0304-405X
Container-title:Journal of Financial Economics
language:en
Short-container-title:Journal of Financial Economics

Author:

Ardia David^ORCID,Guidotti Emanuele^ORCID,Kroencke Tim A.

Publisher

Elsevier BV

Reference46 articles.

1. A simple estimation of bid-ask spreads from daily close, high, and low prices;Abdi;Rev. Financ. Stud.,2017

2. Illiquidity and stock returns II: Cross-section and time-series effects;Amihud;Rev. Financ. Stud.,2020

3. Quantifying market order execution quality at the New York stock exchange;Bacidorea;J. Financial Mark.,2003

4. Long-term reversals in the corporate bond market;Bali;J. Financ. Econ.,2021

5. A comparison of trade execution costs for NYSE and NASDAQ-listed stocks;Bessembinder;J. Financ. Quant. Anal.,1997

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. bidask: Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices;CRAN: Contributed Packages;2021-07-26

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