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Measuring the Bid-Ask Spread : A Note on the Potential Downward Bias of the Thompson-Waller Estimator

Otsubo, Yoichi - 2013

The upward bias of the widely used Thompson-Waller estimator has been pointed out in the literature. In contrast the current paper provides a case the estimator would have downward bias. Such case satisfies the two conditions: (i) the buy (sell) order tends to follow buy (sell) order and (ii)...

Persistent link: https://www.econbiz.de/10013086528

A Bayesian estimate of the Pricing Kernel

Barone-Adesi, Giovanni; Legnazzi, Chiara; Mira, Antonietta - 2016

Bayesian component allows one to include in the physical density estimation some forward-looking information coming from the … accuracy in the tail estimation and display a monotonically decreasing shape over a large support of returns and across … multiple time to maturities, consistently with the classical theory. The monotonic decreasing nature of the relation between PK …

Persistent link: https://www.econbiz.de/10011515905

Analysis of asymmetric GARCH volatility models with applications to margin measurement

Goldman, Elena; Shen, Xiangjin - 2018

conditional heteroscedasticity (ARCH) and GARCH terms. Based on maximum likelihood estimation of S&P 500 returns, S&P/TSX returns …

Persistent link: https://www.econbiz.de/10011844178

How do the lengths of the lead lag time between stocks evolve? : tick-by-tick level measurements across two decades

Anderson, Bing - In: Journal of banking and financial economics 18 (2022) 2, pp. 49-59

There has been an extraordinary decrease in order execution time on stock exchanges in the past two decades. A related question is whether there has been a similar reduction in orders of magnitude for the lengths of the lead lag time between stocks. If the answer is affirmative, and the lengths...

Persistent link: https://www.econbiz.de/10014285876

Stock price index analysis of four OPEC members : a Bayesian approach

Hatamerad, Saman; Asgharpur, Hossain; Adrangi, Bahram; … - In: Financial innovation : FIN 10 (2024), pp. 1-29

from diferent estimation models and variable selection. Jointness is utilized to determine the nature of relationships … analyzed OPEC country. Additionally, the study suggests a weak negative correlation between OPEC oil prices and the stock price …

Persistent link: https://www.econbiz.de/10014548148