Modeling the bid/ask spread: measuring the inventory-holding premium ☆

By Nicolas P. B. Bollen, Thomas Joseph Smith, Robert Whaley. 2004

172 citations recorded by the source corpus.

Subfields: Accounting, Finance, Management Information Systems

View Paper: https://www.semanticscholar.org/paper/2166b395f3c384eb6cb56f5a1b7088261caacd1d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Axel Groß-Klußmann
2. Nikolaus Hautsch

In Finance

1. Axel Groß-Klußmann
2. Nikolaus Hautsch
3. Maria Pacurar

In Management Information Systems

1. Axel Groß-Klußmann
2. Nikolaus Hautsch

Citations in the corpus

• Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models (2011, methodology): “Traditional approaches, such as Glosten and Harris (1988), George et al. (1991), 2 Huang and Stoll (1997) and Bollen et al. (2004), decompose bid-ask spreads into their adverse selection, inventory holding and transaction components but are silent regarding their dynamic properties.”