Estimation accuracy of high–low spread estimator
Author:
Publisher
Elsevier BV
Subject
Finance
Reference11 articles.
1. On the estimation of bid-ask spreads: theory and evidence;Choi;J. Finance Quant. Anal.,1988
2. A simple way to estimate bid-ask spreads from daily high and low prices;Corwin;J. Finance,2012
3. On the independence of transactions on the New York Stock Exchange;Garbade;J. Bank. Finance,1977
4. On the estimation of security price volatilities from historical data;Garman;J. Business,1980
5. Estimation of the bid-ask spread and its components: a new approach;George;Rev. Finance Stud.,1991
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4. Corwin-Schultz Bid-ask Spread Estimator in the Brazilian Stock Market;BAR - Brazilian Administration Review;2016-03
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