Semiparametric identification of the bid-ask spread in extended Roll models

doi:10.1016/j.jeconom.2017.06.013

CORC > 上海财经大学 > 上海财经大学

	Semiparametric identification of the bid-ask spread in extended Roll models
	Chen, Xiaohong 1; Linton, Oliver 2; Yi, Yanping 3
刊名	JOURNAL OF ECONOMETRICS
	2017-10
卷号	200 期号:2 页码:312-325
关键词	Bid-ask spread Roll model Semiparametric identification Latent variables
ISSN号	0304-4076
DOI	10.1016/j.jeconom.2017.06.013
英文摘要	This paper provides new identification results for the bid-ask spread and the nonparametric distribution of the latent fundamental price increments (et) from the observed transaction prices alone. The results are established via the characteristic function approach, and hence allow for discrete or continuous et and the observed price increments do not need to have any finite moments. Constructive identification (and overidentification) results are established first in the basic Roll (1984) model, and then in various extended Roll models, including general unbalanced order flow, serially dependent latent trade direction indicators, adverse selection, random spread and a multivariate Roll model. (C) 2017 Elsevier B.V. All rights reserved.
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
语种	英语
出版者	ELSEVIER SCIENCE SA
WOS记录号	WOS:000410870600013
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/883]
专题	上海财经大学
通讯作者	Yi, Yanping
作者单位	1.Yale Univ, Cowles Fdn Res Econ, POB 208281, New Haven, CT 06520 USA; 2.Univ Cambridge, Dept Econ, Austin Robinson Bldg,Sidgwick Ave, Cambridge CB3 9DD, England; 3.Shanghai Univ Finance & Econ, Sch Econ, 777 Guoding Rd, Shanghai 200433, Peoples R China
推荐引用方式 GB/T 7714	Chen, Xiaohong,Linton, Oliver,Yi, Yanping. Semiparametric identification of the bid-ask spread in extended Roll models[J]. JOURNAL OF ECONOMETRICS,2017,200(2):312-325.
APA	Chen, Xiaohong,Linton, Oliver,&Yi, Yanping.(2017).Semiparametric identification of the bid-ask spread in extended Roll models.JOURNAL OF ECONOMETRICS,200(2),312-325.
MLA	Chen, Xiaohong,et al."Semiparametric identification of the bid-ask spread in extended Roll models".JOURNAL OF ECONOMETRICS 200.2(2017):312-325.