Semiparametric identification of the bid-ask spread in extended Roll models

DOI10.1016/j.jeconom.2017.06.013zbMath1388.62361OpenAlexW2727294782MaRDI QIDQ2399543

Xiaohong Chen, Yanping Yi, Oliver B. Linton

Publication date: 24 August 2017

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.06.013

zbMATH Keywords

latent variablesmultivariatebid-ask spreadsemiparametric identificationRoll model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Nonparametric estimation (62G05)

Related Items

Measurement error models: editors' introduction ⋮ Semiparametric identification of the bid-ask spread in extended Roll models ⋮ Time-varying unobserved heterogeneity in earnings shocks ⋮ Semiparametric estimation of the bid-ask spread in extended roll models

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