Economic Fellow, Office of Economic Analysis, U.S. Securities and Exchange Commission, and Associate Professor of Finance and Business Economics, School of Business Administration, University of Southern California. The comments and opinions contained in this paper are those of the author only. In particular, the views here expressed do not necessarily reflect those of the U.S. Securities and Exchange Commission or of the author's colleagues on its staff. I first developed the ideas presented here for presentation to a Ph.D. Seminar in Empirical Methods in Finance that I led at the University of Southern California. I wish to thank my students, Carolyn C. Wu Chang and Suh-Pyng Ku, for their participation and patience. Any remaining errors are mine alone.
Statistical Properties of the Roll Serial Covariance Bid/Ask Spread Estimator
Article first published online: 30 APR 2012
1990 The American Finance Association
The Journal of Finance
Volume 45, Issue 2, pages 579–590, June 1990
How to Cite
HARRIS, L. (1990), Statistical Properties of the Roll Serial Covariance Bid/Ask Spread Estimator. The Journal of Finance, 45: 579–590. doi: 10.1111/j.1540-6261.1990.tb03704.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
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