期刊論文
| 學年 | 102 |
|---|---|
| 學期 | 2 |
| 出版（發表）日期 | 2014-03-01 |
| 作品名稱 | Estimation accuracy of high–low spread estimator |
| 作品名稱（其他語言） | |
| 著者 | Lin, Chien-Chih |
| 單位 | 淡江大學財務金融學系 |
| 出版者 | Maryland Heights: Academic Press |
| 著錄名稱、卷期、頁數 | Finance Research Letters 11(1), pp.54-62 |
| 摘要 | 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. |
| 關鍵字 | High–low spread estimator;Estimation accuracy;Effective spread;Measurement error |
| 語言 | en_US |
| ISSN | 1544-6131 |
| 期刊性質 | 國外 |
| 收錄於 | SSCI |
| 產學合作 | |
| 通訊作者 | Lin, Chien-Chih |
| 審稿制度 | 否 |
| 國別 | USA |
| 公開徵稿 | |
| 出版型式 | ,電子版,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/96209 ) |