New bid-ask spread estimators from daily high and low prices
Zhiyong Li, Brendan Lambe, Emmanuel Adegbite
| Year of publication: |
2018
|
|---|---|
| Authors: | Li, Zhiyong ; Lambe, Brendan ; Adegbite, Emmanuel |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 60.2018, p. 69-86
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| Subject: | Effective spread | High-low spread estimator | Market liquidity | Transaction cost | Geld-Brief-Spanne | Bid-ask spread | Transaktionskosten | Transaction costs | Börsenkurs | Share price | Schätzung | Estimation | Wertpapierhandel | Securities trading | Marktliquidität | Handelsvolumen der Börse | Trading volume |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2018.08.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012007516