We propose new methods for estimating the bid-ask spread from observed transaction prices alone. Our methods are based on the empirical characteristic function instead of the sample autocovariance function like the method of Roll (1984). As in Roll (1984), we have a closed form expression for...

We propose new methods for estimating the bid-ask spread from observed transaction prices alone. Our methods are based on the empirical characteristic function instead of the sample autocovariance function like the method of Roll (1984). As in Roll (1984), we have a closed form expression for...

This study investigates the role of probability distribution in forecasting volatility and Value-at-Risk (VaR). We use the Realized GARCH model and high-frequency data from the cryptocurrency market and show that the role of probability distribution varies across different situations. A skewed-t...