The Absolute Roll Measure

In this paper I introduce the Absolute Roll Measure derived using imaginary numbers to address the confounding presence of positive autocovariance in [Roll(1984)]. I conduct an empirical implementation for Aaa and Baa corporate bond spreads over the period 1986-2020 with four bid-ask models. The Absolute Roll Measure resolves an issue in the literature and provides a measure applicable to all traded securities that are limited to closing price information

MoreLess

Year of publication:	[2021]
Authors:	Christopoulos, Andreas
Publisher:	[S.l.] : SSRN

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (11 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 23, 2021 erstellt
Other identifiers:	10.2139/ssrn.3958079 [DOI]
Classification:	C0 - Mathematical and Quantitative Methods. General ; G10 - General Financial Markets. General ; G12 - Asset Pricing ; Z0 - Other Special Topics. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014361580