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| Author: | Laux, P. Senchack, A. |
| Title: | Estimating the bid-ask spread in a heteroskedastic market: the case of foreign currency futures |
| Journal: | Review of Quantitative Finance and Accounting
1994 : OCT, VOL. 4:3, p. 219-237 |
| Index terms: | BIDDING HETEROSCEDASTICITY ACCOUNTING |
| Language: | eng |
| Abstract: | Because the bid-ask spread often defies direct measurement, a serial covariance-based approach is frequently used to estimate it. The authors develop a new serial covariance estimator that exploits the relation of time-varying volatility to trading activity to obtain more precise estimates. While no evidence is found that the intraday spread changes near closing, the spread is larger near opening for some contracts four to six months from expiration. |
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