Estimation of bid-ask spreads in the presence of serial dependence

Fuente: arXiv

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Bibliographic Details
Main Authors:	Brouty, Xavier, Garcin, Matthieu, Roccaro, Hugo
Format:	Preprint
Published:	2024
Subjects:	Statistical Finance Mathematical Finance Trading and Market Microstructure Applications Methodology
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2407.17401