A closed-form quasi-maximum likelihood estimator of bid-ask spread

DOI10.1080/03610918.2019.1662042OpenAlexW2974104629MaRDI QIDQ5082874

Die Wan, Wei Chen, Wei-Yi Liu

Publication date: 21 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2019.1662042

zbMATH Keywords

bid-ask spreadhigh-low rangequasi-maximum likelihood estimationovernight adjustment

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
• Realized range-based estimation of integrated variance
• Estimating variance from high, low and closing prices
• Mathematical Statistics
• What Are the Best Liquidity Proxies for Global Research?*
• Volatility Estimation and Jump Testing via Realized Information Variation

This page was built for publication: A closed-form quasi-maximum likelihood estimator of bid-ask spread