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~person:"Li, Zhiyong"
~person:"Rocheteau, Guillaume"
~subject:"High-low spread estimator"
~subject:"Monte-Carlo-Simulation"
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Search: subject_exact:"Bid-ask spread"
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High-low spread estimator
Monte-Carlo-Simulation
Bid-ask spread
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Li, Zhiyong
Rocheteau, Guillaume
Frederiksen, Per
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Nielsen, Morten Ørregaard
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International review of financial analysis
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ECONIS (ZBW)
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A new spread estimator
Bleaney, Michael F.
;
Li, Zhiyong
-
2014
Persistent link: https://www.econbiz.de/10010347319
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New bid-ask spread estimators from daily high and low prices
Li, Zhiyong
;
Lambe, Brendan
;
Adegbite, Emmanuel
- In:
International review of financial analysis
60
(
2018
),
pp. 69-86
Persistent link: https://www.econbiz.de/10012007516
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