Semiparametric identification of the bid-ask spread in extended Roll models
Year of publication: |
October 2017
|
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Authors: | Chen, Xiaohong ; Linton, Oliver ; Yi, Yanping |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 200.2017, 2, p. 312-325
|
Subject: | Bid-ask spread | Roll model | Semiparametric identification | Latent variables | Geld-Brief-Spanne | Nichtparametrisches Verfahren | Nonparametric statistics | Theorie | Theory |
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