Semiparametric identification of the bid-ask spread in extended Roll models

Xiaohong Chen, Oliver Linton, Yanping Yi

Year of publication:	October 2017
Authors:	Chen, Xiaohong ; Linton, Oliver ; Yi, Yanping
Published in:	Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 200.2017, 2, p. 312-325
Subject:	Bid-ask spread \| Roll model \| Semiparametric identification \| Latent variables \| Geld-Brief-Spanne \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Schätzung \| Estimation \| Schätztheorie \| Estimation theory \| Börsenkurs \| Share price

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