Semiparametric estimation of the bid-ask spread in extended roll models

DOI10.1016/j.jeconom.2018.09.010zbMath1452.62897OpenAlexW4237123603MaRDI QIDQ1739639

Yanping Yi, Stefan Schneeberger, Xiaohong Chen, Oliver B. Linton

Publication date: 26 April 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.09.010

zbMATH Keywords

semiparametric estimationempirical characteristic functionlatent variablesbid-ask spreadroll model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Editorial for the special issue on financial engineering and risk management for JoE

Cites Work

• Unnamed Item
• Efficient estimation of general dynamic models with a continuum of moment conditions
• Semiparametric identification of the bid-ask spread in extended Roll models
• Selected Topics in Characteristic Functions
• A survey of the theory of characteristic functions

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