Modelling bid-ask spread conditional distributions using hierarchical correlation reconstruction
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- Jarosław Duda & Henryk Gurgul & Robert Syrek, 2020. "Modelling bid-ask spread conditional distributions using hierarchical correlation reconstruction," Statistics in Transition New Series, Polish Statistical Association, vol. 21(5), pages 99-118, December.
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- Mestel, Roland & Murg, Michael & Theissen, Erik, 2018.
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- Chen, Xiaohong & Linton, Oliver & Yi, Yanping, 2017. "Semiparametric identification of the bid–ask spread in extended Roll models," Journal of Econometrics, Elsevier, vol. 200(2), pages 312-325.
- Henryk Gurgul & Artur Machno, 2017. "The impact of asynchronous trading on Epps effect on Warsaw Stock Exchange," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 25(2), pages 287-301, June.
- Farshid Abdi & Angelo Ranaldo, 2017. "A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices," Review of Financial Studies, Society for Financial Studies, vol. 30(12), pages 4437-4480.
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This paper has been announced in the following NEP Reports:- NEP-ECM-2019-11-11 (Econometrics)
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