Asymptotic comparison of three spread estimators based on Roll's model

DOI10.1016/j.physa.2019.03.044OpenAlexW2923671869WikidataQ128175773 ScholiaQ128175773MaRDI QIDQ2159623

Yang Gao, Chao Wang, Chao Liu, Yunhai Li, Yaojun Wang

Publication date: 2 August 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.03.044

zbMATH Keywords

bootstrapliquiditybid-ask spreadasymptotic propertyprice range

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• What Are the Best Liquidity Proxies for Global Research?*
• The Asymptotic Distribution of the Range of Sums of Independent Random Variables

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