A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices
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Bibliographic InfoArticle provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 67 (2012)
Issue (Month): 2 (04)
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- Simon Hagemann & Christoph Weber, 2013. "An Empirical Analysis of Liquidity and its Determinants in The German Intraday Market for Electricity," EWL Working Papers 1317, University of Duisburg-Essen, Chair for Management Science and Energy Economics, revised Oct 2013.
- Shin S. Ikeda, 2013. "An Empirical Market Microstructure Analysis of the Implied Spread Cost in the Japanese Day-Ahead Electricity Market," GRIPS Discussion Papers 12-22, National Graduate Institute for Policy Studies.
- Karnaukh, Nina & Ranaldo, Angelo & Söderlind, Paul, 2013. "Understanding FX Liquidity," Working Papers on Finance 1315, University of St. Gallen, School of Finance.
- Dennis Karstanje & Elvira Sojli & Wing Wah Tahm & Michel van der Wel, 2013. "Economic Valuation of Liquidity Timing," Tinbergen Institute Discussion Papers 13-156/IV/DSF64, Tinbergen Institute.
- Mancini, Loreano & Ranaldo, Angelo & Wrampelmeyer, Jan, 2013. "The Euro Interbank Repo Market," Working Papers on Finance 1316, University of St. Gallen, School of Finance.
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