True Spreads and Equilibrium Prices
- 1 October 2001
- journal article
- Published by Wiley in The Journal of Finance
- Vol. 56 (5) , 1801-1835
- https://doi.org/10.1111/0022-1082.00390
Abstract
No abstract availableKeywords
This publication has 44 references indexed in Scilit:
- Price, trade size, and information in securities marketsPublished by Elsevier ,2002
- Using simulation methods for bayesian econometric models: inference, development,and communicationEconometric Reviews, 1999
- Marginal Likelihood from the Gibbs OutputJournal of the American Statistical Association, 1995
- Investment analysis and price formation in securities marketsJournal of Financial Economics, 1995
- Time and the Process of Security Price AdjustmentThe Journal of Finance, 1992
- Inferring Trade Direction from Intraday DataThe Journal of Finance, 1991
- Sampling-Based Approaches to Calculating Marginal DensitiesJournal of the American Statistical Association, 1990
- Estimating the components of the bid/ask spreadJournal of Financial Economics, 1988
- Non-Gaussian State-Space Modeling of Nonstationary Time SeriesJournal of the American Statistical Association, 1987
- A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient MarketThe Journal of Finance, 1984