教師資料查詢 | 類別: 期刊論文 | 教師: 林建志 Lin, Chien-chin (瀏覽個人網頁)

標題:Estimation accuracy of high–low spread estimator
學年
學期
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
語言英文(美國)
ISSN1544-6131
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
國別美國
公開徵稿
出版型式,電子版,紙本
相關連結
SDGs
  • 優質教育
Google+ 推薦功能,讓全世界都能看到您的推薦!