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BID ASK SPREADS IN FINANCIAL FUTURES
被引:12
作者
:
LAUX, PA
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV TEXAS,COMMERCIAL BANKING & TRUST,AUSTIN,TX 78712
UNIV TEXAS,COMMERCIAL BANKING & TRUST,AUSTIN,TX 78712
LAUX, PA
[
1
]
SENCHACK, AJ
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV TEXAS,COMMERCIAL BANKING & TRUST,AUSTIN,TX 78712
UNIV TEXAS,COMMERCIAL BANKING & TRUST,AUSTIN,TX 78712
SENCHACK, AJ
[
1
]
机构
:
[1]
UNIV TEXAS,COMMERCIAL BANKING & TRUST,AUSTIN,TX 78712
来源
:
JOURNAL OF FUTURES MARKETS
|
1992年
/ 12卷
/ 06期
关键词
:
D O I
:
10.1002/fut.3990120603
中图分类号
:
F8 [财政、金融];
学科分类号
:
0202 ;
摘要
:
[No abstract available]
引用
收藏
页码:621 / 634
页数:14
相关论文
共 20 条
[1]
AMIHUD Y, 1987, J FINANC, V42, P533
[2]
SOME DETERMINANTS OF THE VOLATILITY OF FUTURES PRICES
[J].
ANDERSON, RW
论文数:
0
引用数:
0
h-index:
0
机构:
CUNY,UNIV CTR,NEW YORK,NY 10021
CUNY,UNIV CTR,NEW YORK,NY 10021
ANDERSON, RW
.
JOURNAL OF FUTURES MARKETS,
1985,
5
(03)
:331
-348
[3]
A GENERAL DISTRIBUTION THEORY FOR A CLASS OF LIKELIHOOD CRITERIA
[J].
BOX, GEP
论文数:
0
引用数:
0
h-index:
0
BOX, GEP
.
BIOMETRIKA,
1949,
36
(3-4)
:317
-346
[4]
CHO DC, 1987, J FINANC, V42, P1195
[5]
ON THE ESTIMATION OF BID-ASK SPREADS - THEORY AND EVIDENCE
[J].
CHOI, JY
论文数:
0
引用数:
0
h-index:
0
CHOI, JY
;
SALANDRO, D
论文数:
0
引用数:
0
h-index:
0
SALANDRO, D
;
SHASTRI, K
论文数:
0
引用数:
0
h-index:
0
SHASTRI, K
.
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS,
1988,
23
(02)
:219
-230
[6]
COMPONENTS OF THE BID-ASK SPREAD AND THE STATISTICAL PROPERTIES OF TRANSACTION PRICES
[J].
GLOSTEN, LR
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV MINNESOTA,CURTIS L CARLSON SCH MANAGEMENT,MINNEAPOLIS,MN 55455
UNIV MINNESOTA,CURTIS L CARLSON SCH MANAGEMENT,MINNEAPOLIS,MN 55455
GLOSTEN, LR
.
JOURNAL OF FINANCE,
1987,
42
(05)
:1293
-1307
[7]
MARKET-STRUCTURE AND TRANSACTION COSTS - IMPLIED SPREADS IN THE GERMAN STOCK-MARKET
[J].
HALLER, A
论文数:
0
引用数:
0
h-index:
0
机构:
VANDERBILT UNIV,NASHVILLE,TN 37203
VANDERBILT UNIV,NASHVILLE,TN 37203
HALLER, A
;
STOLL, HR
论文数:
0
引用数:
0
h-index:
0
机构:
VANDERBILT UNIV,NASHVILLE,TN 37203
VANDERBILT UNIV,NASHVILLE,TN 37203
STOLL, HR
.
JOURNAL OF BANKING & FINANCE,
1989,
13
(4-5)
:697
-708
[8]
STATISTICAL PROPERTIES OF THE ROLL SERIAL COVARIANCE BID ASK SPREAD ESTIMATOR
[J].
HARRIS, L
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV SO CALIF,SCH BUSINESS,LOS ANGELES,CA 90089
UNIV SO CALIF,SCH BUSINESS,LOS ANGELES,CA 90089
HARRIS, L
.
JOURNAL OF FINANCE,
1990,
45
(02)
:579
-590
[9]
ORDER ARRIVAL, QUOTE BEHAVIOR, AND THE RETURN-GENERATING PROCESS
[J].
HASBROUCK, J
论文数:
0
引用数:
0
h-index:
0
HASBROUCK, J
;
HO, TSY
论文数:
0
引用数:
0
h-index:
0
HO, TSY
.
JOURNAL OF FINANCE,
1987,
42
(04)
:1035
-1048
[10]
DEALER BID-ASK QUOTES AND TRANSACTION PRICES - AN EMPIRICAL-STUDY OF SOME AMEX OPTIONS
[J].
HO, TSY
论文数:
0
引用数:
0
h-index:
0
机构:
SMITH BARNEY HARRIS UPHAM & CO INC,NEW YORK,NY
SMITH BARNEY HARRIS UPHAM & CO INC,NEW YORK,NY
HO, TSY
;
MACRIS, RG
论文数:
0
引用数:
0
h-index:
0
机构:
SMITH BARNEY HARRIS UPHAM & CO INC,NEW YORK,NY
SMITH BARNEY HARRIS UPHAM & CO INC,NEW YORK,NY
MACRIS, RG
.
JOURNAL OF FINANCE,
1984,
39
(01)
:23
-45
←
1
2
→
共 20 条
[1]
AMIHUD Y, 1987, J FINANC, V42, P533
[2]
SOME DETERMINANTS OF THE VOLATILITY OF FUTURES PRICES
[J].
ANDERSON, RW
论文数:
0
引用数:
0
h-index:
0
机构:
CUNY,UNIV CTR,NEW YORK,NY 10021
CUNY,UNIV CTR,NEW YORK,NY 10021
ANDERSON, RW
.
JOURNAL OF FUTURES MARKETS,
1985,
5
(03)
:331
-348
[3]
A GENERAL DISTRIBUTION THEORY FOR A CLASS OF LIKELIHOOD CRITERIA
[J].
BOX, GEP
论文数:
0
引用数:
0
h-index:
0
BOX, GEP
.
BIOMETRIKA,
1949,
36
(3-4)
:317
-346
[4]
CHO DC, 1987, J FINANC, V42, P1195
[5]
ON THE ESTIMATION OF BID-ASK SPREADS - THEORY AND EVIDENCE
[J].
CHOI, JY
论文数:
0
引用数:
0
h-index:
0
CHOI, JY
;
SALANDRO, D
论文数:
0
引用数:
0
h-index:
0
SALANDRO, D
;
SHASTRI, K
论文数:
0
引用数:
0
h-index:
0
SHASTRI, K
.
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS,
1988,
23
(02)
:219
-230
[6]
COMPONENTS OF THE BID-ASK SPREAD AND THE STATISTICAL PROPERTIES OF TRANSACTION PRICES
[J].
GLOSTEN, LR
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV MINNESOTA,CURTIS L CARLSON SCH MANAGEMENT,MINNEAPOLIS,MN 55455
UNIV MINNESOTA,CURTIS L CARLSON SCH MANAGEMENT,MINNEAPOLIS,MN 55455
GLOSTEN, LR
.
JOURNAL OF FINANCE,
1987,
42
(05)
:1293
-1307
[7]
MARKET-STRUCTURE AND TRANSACTION COSTS - IMPLIED SPREADS IN THE GERMAN STOCK-MARKET
[J].
HALLER, A
论文数:
0
引用数:
0
h-index:
0
机构:
VANDERBILT UNIV,NASHVILLE,TN 37203
VANDERBILT UNIV,NASHVILLE,TN 37203
HALLER, A
;
STOLL, HR
论文数:
0
引用数:
0
h-index:
0
机构:
VANDERBILT UNIV,NASHVILLE,TN 37203
VANDERBILT UNIV,NASHVILLE,TN 37203
STOLL, HR
.
JOURNAL OF BANKING & FINANCE,
1989,
13
(4-5)
:697
-708
[8]
STATISTICAL PROPERTIES OF THE ROLL SERIAL COVARIANCE BID ASK SPREAD ESTIMATOR
[J].
HARRIS, L
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV SO CALIF,SCH BUSINESS,LOS ANGELES,CA 90089
UNIV SO CALIF,SCH BUSINESS,LOS ANGELES,CA 90089
HARRIS, L
.
JOURNAL OF FINANCE,
1990,
45
(02)
:579
-590
[9]
ORDER ARRIVAL, QUOTE BEHAVIOR, AND THE RETURN-GENERATING PROCESS
[J].
HASBROUCK, J
论文数:
0
引用数:
0
h-index:
0
HASBROUCK, J
;
HO, TSY
论文数:
0
引用数:
0
h-index:
0
HO, TSY
.
JOURNAL OF FINANCE,
1987,
42
(04)
:1035
-1048
[10]
DEALER BID-ASK QUOTES AND TRANSACTION PRICES - AN EMPIRICAL-STUDY OF SOME AMEX OPTIONS
[J].
HO, TSY
论文数:
0
引用数:
0
h-index:
0
机构:
SMITH BARNEY HARRIS UPHAM & CO INC,NEW YORK,NY
SMITH BARNEY HARRIS UPHAM & CO INC,NEW YORK,NY
HO, TSY
;
MACRIS, RG
论文数:
0
引用数:
0
h-index:
0
机构:
SMITH BARNEY HARRIS UPHAM & CO INC,NEW YORK,NY
SMITH BARNEY HARRIS UPHAM & CO INC,NEW YORK,NY
MACRIS, RG
.
JOURNAL OF FINANCE,
1984,
39
(01)
:23
-45
←
1
2
→