Modelling bid-ask spread conditional distributions using hierarchical correlation reconstruction

Jarosław Duda (), Henryk Gurgul and Robert Syrek ()
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Jarosław Duda: Jagiellonian University, Poland
Robert Syrek: Jagiellonian University, Poland

Statistics in Transition New Series, 2020, vol. 21, issue 5, 99-118

Abstract: While we would like to predict exact values, the information available, being incomplete, is rarely sufficient - usually allowing only...

Date: 2020
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Related works:
Working Paper: Modelling bid-ask spread conditional distributions using hierarchical correlation reconstruction (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:exl:29stat:v:21:y:2020:i:5:p:99-118

DOI: 10.21307/stattrans-2020-057

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