Bid–ask spread estimator from high and low daily prices: Practical implementation for corporate bonds
نویسندگان
چکیده
منابع مشابه
New Bid-Ask Spread Estimators from Daily High and Low Prices
Estimating trading costs in the absence of recorded data is a problem that continues to puzzle financial market researchers. We address this challenge by introducing two low frequency bid-ask spread estimators using daily high and low transaction prices. The range of mid-prices is an increasing function of the sampling interval, while the bid-ask spread and the relationship between trading dire...
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Article history: Received 30 March 2013 Accepted 14 May 2013 Available online xxxx JEL classification: C02 C13 G14
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a r t i c l e i n f o Keywords: Fractional cointegration Long memory Range Volatility Daily high and low prices This work provides empirical support for the fractional cointegration relationship between daily high and low stock prices, allowing for the non-stationary volatility of stock market returns. The recently formalized fractionally cointegrated vector autoregressive (VAR) model is employ...
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ژورنال
عنوان ژورنال: Journal of Empirical Finance
سال: 2018
ISSN: 0927-5398
DOI: 10.1016/j.jempfin.2018.06.003