Estimation accuracy of high–low spread estimator

Chien-Chih Lin

Finance Research Letters, 2014, vol. 11, issue 1, 54-62

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.

Keywords: High–low spread estimator; Estimation accuracy; Effective spread; Measurement error (search for similar items in EconPapers)
JEL-codes: C02 C13 G14 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:11:y:2014:i:1:p:54-62

DOI: 10.1016/j.frl.2013.05.004

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