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New bid-ask spread estimators from daily high and low prices

Li, Zhiyong; Lambe, Brendan; Adegbite, Emmanuel - In: International review of financial analysis 60 (2018), pp. 69-86

Persistent link: https://www.econbiz.de/10012007516

A new spread estimator

Bleaney, Michael F.; Li, Zhiyong - In: Review of quantitative finance and accounting 47 (2016) 1, pp. 179-211

Persistent link: https://www.econbiz.de/10011595570

Nonparametric Kernel density estimation near the boundary

Malec, Peter; Schienle, Melanie - 2012 - This Version: August 13, 2012

on high-frequency stock trading volumes and realized volatility forecasts demonstrate the usefulness of the proposed … methodology in practice. -- Kernel density estimation ; boundary correction ; asymmetric kernel …

Persistent link: https://www.econbiz.de/10009577035

Volatility forecasting : the role of lunch-break returns, overnight returns, trading volume and leverage effects

Wang, Xunxiao; Wu, Chongfeng; Xu, Weidong - In: International journal of forecasting 31 (2015) 3, pp. 609-619

Persistent link: https://www.econbiz.de/10011474428

Nonparametric Kernel Density Estimation Near the Boundary

Malec, Peter - 2013

on high-frequency stock trading volumes and realized volatility forecasts demonstrate the usefulness of the proposed …

Persistent link: https://www.econbiz.de/10013074263

Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book

Clinet, Simon; Potiron, Yoann - In: Journal of econometrics 209 (2019) 2, pp. 289-337

Persistent link: https://www.econbiz.de/10012302598

Estimation of an order book dependent hawkes process for large datasets

Mucciante, Luca; Sancetta, Alessio - In: Journal of financial econometrics 22 (2024) 4, pp. 1098-1129

Persistent link: https://www.econbiz.de/10015338768

A data paradigm to operationalise expanded filtration : realized volatilities and kernels from non-synchronous NASDAQ quotes and trades

Chakravarty, Ranjan R.; Pani, Sudhanshu - In: Journal of quantitative economics 19 (2021) 4, pp. 617-652

Persistent link: https://www.econbiz.de/10012663902

Inference from the Order Book with Applications to Volatility Estimation

Novotny, Petr; Vecer, Jan - 2010

estimator of the price can be used to estimate other implied parameters of financial models, such as the volatility of an asset …. The volatility estimator overcomes microstructure noise that is present in the high frequency data and thus one can obtain … good volatility estimators even on very short time scales …

Persistent link: https://www.econbiz.de/10014188772

Incoporating price-relevant information between quotes and trades : a new measure of the effective bid-ask spread

Kim, Sung-hun; Ogden, Joseph P. - In: International journal of theoretical and applied finance 2 (1999) 2, pp. 179-200

Persistent link: https://www.econbiz.de/10001394249