Estimation accuracy of high–low spread estimator

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Title:	Estimation accuracy of high–low spread estimator
Authors:	Lin, Chien-Chih
Contributors:	淡江大學財務金融學系
Keywords:	High–low spread estimator;Estimation accuracy;Effective spread;Measurement error
Date:	2014-03
Issue Date:	2014-03-06 12:57:06 (UTC+8)
Publisher:	Maryland Heights: Academic Press
Abstract:	In this paper we analyze the estimation accuracy of high–low spread estimator. It is found that the performance of high–low spread estimator depends on the size of the true spread, the level of transaction frequency, and the degree of volatility. Analyzing the probability of measurement error, it is shown that the high–low spread estimators have better performance when the size of the spread is even wider, when the level of transaction frequency is even higher, or when the degree of volatility is relatively lower.
Relation:	Finance Research Letters 11(1), pp.54-62
DOI:	10.1016/j.frl.2013.05.004
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Journal Article

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