ON LOW-FREQUENCY ESTIMATION OF BID-ASK SPREAD IN THE STOCK MARKET

• Authors: Andrzej Marek Kociński
• Languages of publication: EN

Abstracts

EN

In the article two popular low-frequency methods od bid-ask spread estimation are presented and applied to the stocks quoted on the Warsaw Stock Exchange (WSE): the Roll method [Roll 1984] and Corwin-Schultz method [Corwin and Schultz 2012]. The widely available data on average spreads published by WSE are used as benchmark and proxy of information, usually received from difficult to access and limited high-frequency financial data

Keywords

EN

high-frequency data; low-frequency data; Roll estimator; Corwin-Schultz estimator

• Publisher: Katedra Ekonometrii i Statystyki, Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
• Journal: Metody Ilościowe w Badaniach Ekonomicznych
• Year: 2014
• Volume: 15
• Issue: 2
• Pages: 135-143

Dates

published

2014

Contributors

author

Andrzej Marek Kociński

• Department of Applied Mathematics Warsaw University of Life Sciences – SGGW

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