Semiparametric estimation of the bid-ask spread in extended roll models
Xiaohong Chen, Oliver Linton, Stefan Schneeberger, Yanping Yi
| Year of publication: |
2019
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|---|---|
| Authors: | Chen, Xiaohong ; Linton, Oliver ; Schneeberger, Stefan ; Yi, Yanping |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 208.2019, 1, p. 160-178
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| Subject: | Bid–ask spread | Roll model | Semiparametric estimation | Empirical characteristic function | Latent variables | Schätztheorie | Estimation theory | Schätzung | Estimation | Geld-Brief-Spanne | Bid-ask spread | Nichtparametrisches Verfahren | Nonparametric statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2018.09.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012139826