Measuring the bid-ask spreads : a note on the potential downward bias of the Thompson-Waller estimator
Year of publication: |
2015
|
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Authors: | Otsubo, Yoichi |
Published in: |
Applied economics letters. - Abingdon : Routledge, ISSN 1350-4851, ZDB-ID 1181036-1. - Vol. 22.2015, 10/12, p. 808-814
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Subject: | bid-ask spread | carbon emissions market | futures market | market microstructure | Thompson–Waller estimator | Geld-Brief-Spanne | Bid-ask spread | Marktmikrostruktur | Market microstructure | Treibhausgas-Emissionen | Greenhouse gas emissions | Emissionshandel | Emissions trading | Schätztheorie | Estimation theory | Schätzung | Estimation | Systematischer Fehler | Bias |
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