Semiparametric identification of the bid–ask spread in extended Roll models
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DOI: 10.1016/j.jeconom.2017.06.013
Abstract: This paper provides new identification results for the bid–ask spread and the nonparametric distribution of the latent fundamental price increments (et) from the observed transaction prices alone. The results are established via the characteristic function… read more here.
Keywords: roll; ask spread; bid ask; extended roll ... See more keywords