Open AccessA Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices
Author(s) -
Farshid Abdi,
Angelo Ranaldo
Publication year - 2017
Publication title -
review of financial studies
Language(s) - English
Resource type - Journals
eISSN - 1465-7368
pISSN - 0893-9454
DOI - 10.1093/rfs/hhx084
Subject(s) - bid price , market liquidity , estimator , econometrics , transaction cost , ask price , estimation , transaction data , benchmark (surveying) , economics , computer science , database transaction , statistics , mathematics , finance , geography , management , geodesy , programming language
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